I know a lot of folk who game with some music in the background using an app of their choice. Well, if you are playing a game on Steam, you can now do it all in that interface.
Valve launched Steam Music Player last night, which will let play songs from your local collections. Also, if a game has a soundtrack attached to it, it will automatically show up in the Steam Music Player for you to play.
If there's a soundtrack you want, but don't want to purchase the game some games will offer a separate soundtrack DLC purchase. Right now, Valve is having a nice sale on soundtracks for some of their games like Half-Life, Half-Life 2, and Portal.
As with most other of Valve's offerings, they're looking to continue to improve on it, but it's a nice first step for those that want some of their own tunes while gaming.