In-Game Music

So I play a lot of games, and listen to a lot of music.  Is there any good program for letting me to both seamlessly? I've heard rumors of Steam Music, but I also don't play all of my games through Steam (I still like the Sierra version of Half-Life for speed-running and some other older CD games).  Is there good software out there that will work alongside games better?  Right now I'm just using Foobar and alt-tabbing a lot, which isn't preferable (especially for speed-running, like I mentioned).

 

This is probably a dumb question, but I'd like to know if I've been missing out on something cool and useful.