I use Pandora One (the pay service, which eliminates the ads). I really like a good dubstep station during sex. I feels something carnal, and lets us be a little louder since the genre covers the full range of frequencies and sounds most times.
We don't listen to music during sex very often--it would distract me! Sometimes, when I'm afraid the neighbors might hear our exploits, we turn on the radio or this ridiculous "erotic moods" CD that came as part of a romance package at a hotel.