So albeit coming a little bit late, I do believe that there are a few things to add in here.
Start with (sound)tracks that you like
The most important thing, before all others, is that you'll love what you put in the background. If you don't like the music in the background, you'll start to wonder to bad places, with all of your thoughts concerning "when will this thing ever end". With thoughts like this one, it is pretty much impossible to GM, especially if you’re a more improvisational GM like me. If you like the music you may still wonder, true, but it will be for better places and it will give you new ideas to implement which is always good.
More than that, though, we tend to listen more to the things that we like. This helps you to know by heart the shifts in your tracks, thus helping you to GM with it. You'll know instinctively how and when to shift your descriptions and such.
Don't use music with words/vocals
We people are a very wordy species and as such we're drawn to words and vocals. When you or your players will hear those words, even if they're of foreign origin, at least to a (not so) lesser extent will be drawn to those words, or to trying to decipher them, thus removing yourselves from the game. As much as we want everyone to dive into an imaginary world when playing, we want it to be the world of the game and not the one of the song/track.
Think about the tone and mood of your game
Your music should fit your game in order to create the right atmosphere. The right atmosphere is driven by the tone and mood of your campaign, as it should serve both of them. So, in order to choose your background music, you should first and foremost know what it should supplement, what it shall serve.
Think about when you will want to use the music
When will you want to put the music? Will you play it only between battles? Only in battles? All the time? Only in key moments? The answers to each and every one of those answers will also dictate what music you will choose. If there will be no music in battles, "fight-tracks" shouldn't be there. If your music will be only in key moments, you'll have to make it much more dramatic. If it will play all the time you should do much more homework about the amount of fights and their length, the mood and tone of your game and so on.
Start collecting the music
This may sound quite a lot to ask, but by now you probably know what tracks you're looking for. The tracks that you'll find here may not get to the soundtrack, but they should both form the basis of it (well, at least some of the tracks you'll find in this stage) and both present the direction you're headed to. You shall listen to many a soundtrack and decide which tracks (if any) you will add to your collection. A great place to start if you want fantasy music, for example, might actually be this one: Radio Rivendell. Pandora (or similar radios) might be a great place for other genres.
Now choose which tracks will enter your game soundtrack
Now it is time to delete from the list all those tracks that don't serve you, all those soundtracks that don't fit you, and so on. We want here only the best of tracks, those that are most inspiring and best serve your game. Mood and tone shall serve a great factor here, as do the elements of the game: If battles are common and long in your campaigns, you shall have many "fight-tracks" in your shorten list, if you have much more personal and dramatic scenes try to aim for those when you build your shorten playlist.
From those ones build your final playlist
Now you just place the tracks in the right order for you. A general advice when you do that is to change the general mood of the tracks every few tracks. Usually one will play between the faster and louder ones to the softer and slower ones, if one puts it in the background for the entire session without stopping it. It is advisable to allocate the length of each mood according to the type of scene that it should accommodate. So, for example, if you have long fights their part in the soundtrack should be greater, not to mention that they should play immediately into one another.
A long example, or how did I build my Changeling Soundtrack
To better clarify what I've just said, I present here the step-by-step route I took to create my Changeling soundtrack. It may be worth mentioning in advance that I build a new one for each session, so it may not entirely fit your style.
I start with thinking about the mood of my game. It is a Changeling game set in Scotland, so the music shall sound both authentic and magical. Scots are Celtic in their origin, and so is their folk music, so I'll have to search for Celtic music. Irish music is a type of Celtic music which usually sounds more magical. This can serve my purpose, when I think about it more closely, so I decide to search in my Irish music collection.
Then I think about the other elements of my game that I'll want music for. My game will probably be a little bit dark, so I'll need a nice collection of dark tracks too. Maybe the slow ones from "Psycho" will be great for me? How about, if s, adding a few similar ones from other horror movies? "Scream" can be nice, as is "Silence of the Lambs".
This gives me a general sense of what I'm looking for and with that I continue to my next big question: When will I want to put it on? For me, the answer is usually "all the time", as it is here. This means that I need to think about how many fights I'll have in the session before hand (pretty much none) and what moods will I shift through in my upcoming session. There will be many dark scenes this time, as will be many small magical ones between them. There will also be a "big-reveal" one, so I need my soundtrack to serve that too.
Now I can continue to the real work, collecting it. I start with my current collections, going through all those Irish CDs of mine. Lord of the Dance might fit me well, as may Sharon Shannon. I write those names on a paper before continuing now to some darker ones. Psycho is too dramatic, so I'll have to go for another route. "How about 'Halloween'" I ask myself and write this name too. After a few more names I go for Radio Rivendell and listen to some tracks there. A few names also pop to my mind, like "Into the Dark". Then, while sitting in front of my telly I watch an episode of "Once upon a time", deciding to use Rumple's track.
Shortening the list takes me some time, as I have much more tracks than I need. I decide that some of the tracks I will keep for next time ("Into the Dark") and some of the tracks from last session I will bring again as motives. Then I put them in the order I want, building an 80-min soundtrack for my session, a soundtrack that I will play in loops all the time, without stopping it for a moment.