I associate a lot of music to moments in games, glad to see other people do the same. It's weird but it creates such a specific, intense nostalgia and emotion. Really cool stuff.
World of Warcraft's soundtrack being what it is, I listened to a lot of music while playing that, but what I remember most is raiding during Burning Crusade while listening to DJ Tiesto. His jams suited Netherstorm particularly well.
When my friends and I first discovered Dragonforce (yeah, yeah; "studioforce") we were finally digging into Saints Row, and that created some wacky, memorable moments. Glitching out, falling through the pavement and into a bottomless void while Through The Fire and the Flames was especially memorable.
The last real use I got out of the 360 being able to play music through my iPod was when my friend and I played through the original Gears of War on co-op. That one underground Locust-infested level, we had Aretha Franklin blaring, and it was pretty dang great.
The best, most perfect example of this I can think of, though, is Bonnie Tyler's "I Need a Hero" coming on the radio just as I was defeating Dr. Wily in Mega Man: Powered Up while waiting for a haircut at the barbershop. It made the very best victory lap music as the credits rolled. I grinned from ear-to-ear; everybody else in the shop probably thought I was insane.