Another DM I know recently taught me to use ambient music, especially during combat, to keep players more focused on the game and for general atmosphere. That's all fine and simple for fantasy, plenty of sources. But I'm at a loss for my Shadowrun and Dark Heresy games. I know I need the electronic sounds, but Dark Heresy, being 40K, also has heavy Gothic undertones. Maybe monastic choirs? Any ideas?
Film scores can be great background or ambience music for role-playing sessions, for the same reasons that they work well in the film, and there are plenty of films with styles and settings that match those games - they don't even have to be good films, as you're interested in the soundtrack rather than the plot! Some film scores that come to mind are Bladerunner, The Matrix and Johnny Mnemonic.
I would recommend an orchestral or instrumental score rather than a soundtrack that is just a set of songs - look for "OST" or "Original Motion Picture Score" in the title to distinguish, such as in the case of The Matrix which has two soundtrack albums (http://en.wikipedia.org/wiki/The_Matrix:_Music_from_the_Motion_Picture). You might even make notes while watching a film to help you find the audio track from the score that was played during a fight or a chase.
And it looks like this other question has some good discussion already: Music during game or not?