Some AAA games have great background music and themes. But I heard people turn them off and only have sound effects. I know 'Squaresoft' tried making a game with only nature sounds for background. 'Secret of Evermore'.
Probably just a matter of taste. I tend to keep them on, and don't play some custom playlist in the background but I know some that do.
I always listen to the real music as I want to experience the original artistic vision.
for me it depends on my mood. earlier i had it off more, but i've been trying to have it on more often lately, partly for seeing how other people do game music, and partly to get the mood effect of the game
The music gets turned off if it's not done well. If it's a story game you might as well listen to it b/c it's usually placed well, but if it's a sandbox game and the music doesn't blend into the background then it's getting turned off.
I got used to playing games in places where I wasn't supposed to be playing them. :) I nearly always turn all of the sound off.