When I solo in MMOs I usually run i-tunes in the background. Mainly I play electronica (from experimental to mainstream), or electronic pop bands (think Radio Head or Bjork). I was a dance monkey in my youth, and I still like to hear beats while I beat my foes with a giant sword (though my clubbing days did not in any way involve violence or giant swords). But I listen to a lot of random stuff, from world music to classical. Listening to whatever music I feel like while I run around makes soloing in MMOs a lot less grindy to me.
The music doesn't always help with my immersion, however. I can tell when I've hit a really good piece (to my tastes) because it takes me right out of the game. I stop caring about whatever I'm doing, I just want to listen. If I can port out to a safe spot I will. At the very least, I'll finish up my current combat as quickly as possible and run to a spot that looks safe. Sometimes I will log out altogether and just bliss out for an hour or so while whatever I am listening to plays out. That sounds alone can produce such rapture never ceases to amaze me.
[This post inspired by a recent encounter with Vivaldi.]