I throw together a playlist of things that I feel fit the mood of the piece... I've been known to reuse playlists a bit, too. Although, if I'm doing fanart, I usually listen to the soundtrack of whatever I'm doing art for.
And so, Ladies and Gentlefurs, this is a chunk of the playlist I've used for a while now (on digital, and stuff in my sketchbook):

Animal Farm- The Kinks
Scott Pilgrim- Plumtree
Threshold- Sex Bob-Omb
Russians- Sting & The Police
Higher Than the Stars- The Pains of Being Pure At Heart
Rose of May- Nobuo Uematsu
Bring on the Night- Sting & The Police
Photobooth- Death Cab for Cutie
Space Oddity- David Bowie
Ashes to Ashes- David Bowie
My Home, Sweet Home- Nobuo Uematsu
Canary in a Coalmine- Sting & The Police
Teeth- Lady Gaga
Garbage Truck- Sex Bob-Omb
People Got a Lotta Nerve- Neko Case
That Teenage Feeling- Neko Case
Kay Faraday's Theme- Ace Attorney Investigations Soundtrack... there's a pretty cool techno remix here: http://www.youtube.com/watch?v=lFXLQJRabVY
These are all awsm songs that each of you should go and check out D:
These albums kick tail, as well:

Fox Confessor Brings the Flood- Neko Case
Middle Cyclone- Neko Case
Any album by Sting & The Police, or any of Sting's solo albums
Any of the soundtracks for the Final Fantasy games
Elect the Dead- Serj Tankian
The Rise & Fall of Ziggy Stardust- David Bowie