When I play Minecraft I put Minecraft Volume Alpha (the soundtrack) on shuffle and loop so the minecraft music is always playing and not just at random moments.
When I play Zombie Survival on gmod, or Left 4 Dead, I listen to some Iron Maiden.
When I play Grand Theft Auto I mute the in-game radio and just listen to my entire grooveshark playlist shuffle/repeat. Thats a big playlist.
Any other game, I just listen to the ingame sounds. I think most of the time I need to hear sounds properly to play well.