If I really need to think about a problem, nothing.
Otherwise, a number of things, mostly either techno or goth. I often use Pandora (
www.pandora.com) to listen to various things because you can start on one song/artist and it just keeps going from there (and you can specify good or bad if you like/dislike things).
Sometimes Classical though, it really depends on my mood, and what kind of programming work I'm trying to do.