I have used numerous soundtracks from my Ipod depending on what genre I am playing. But just for fantasy, I can draw from:
Age of Conan, Burning Crusade (WoW expansion), Conan the Barbarian, Dark Age of Camelot, Dungeons and Dragons Soundtrack, The Mummy, World of Warcraft Original Soundtrack, World of Warcraft: Taverns of Azeroth,13th Warrior, and 300.
Admittedly I have to be choosy with the WoW soundtracks for anyone who plays regularly, but the Tavern Soundtrack is particularly useful.
I have three albums specifically for rp in Egypt.
Nox Arcana and Midnight Syndicate albums are usually pretty good for horror rp.
Stargate, Stargate Atlantis and the 4 soundtracks for the new Battlestar Galactica all have decent pieces for sci-fi rp.