For immersion purposes, I play with the music turned off and sound effects, ambient noises, and speech turned all the way up.

I rarely listen to music from an outside source when I play a roleplaying game. On those few occasions when I do, it is never anything modern (certainly not rock *shudder*) and rarely vocal music. These days I mostly either listen to game music or I turn the game music off. I am very fond of ESO's music so I usually leave it on.

Years ago, I used to insert tracks into the music folders in Morrowind and Oblivion. I would try to select tracks that blended well with Jeremy Soule's music. The game would play these new tracks in rotation, along with the original tracks. That is the closest I have come to listening to my own music on a regular basis.