When you play a game that has music playing, the music can set the mood and tone of that particular part of the game. (I.e. Most of the tunes in SMB are upbeat little dittys, but when you are in a castle, the music changes to something more creepy.)
Some games, however, have music that just makes no sense playing where it does. (Could you imagine walking into a battle with a huge dragon in an RPG, and some fruity faerie music is playing?)
So, what games have you played that have ineffective music?