Whenever I use music for a fantasy campaign, which it seems is the genre I usually run, I mostly use movie soundtracks...
Lord of the Rings, all 3
Masters and Commanders
Conan, both movies
but you could also use...
Midnight Syndicate's Dungeons & Dragons cd or Loreena McKennitt's music.
Midnight Syndicate also has some good music for survival horror from what I understand, though I don't own any other cds except the DnD one.
Mostly I'd say try and use music that fits the genre!
