It is a natural progression; from D1 with your first steps into the cathedral with the gloomy tense music, or D2's eerie ambiance in the first 'real' level when you step into the den of evil.
However; as we play these games more and more, and get to higher difficulty levels and aren't really in the "kite the creepy creatures" mode and more in the mindset of fine-tuning the killbliteration ratio of gib launching mayhem in the arreat battlefield areas in hell difficulty in LoD or the "epileptic's worst nightmare" storm of particle effects and flashing lights flying across the screen while fighting fast/shield/firechain/extrahealth elite mobs and a frozen/molten/plague/arcane rare guy and his minions simultaneously in act 4 MP10; we're usually using our own tunes.
So, that being said; what's your favorite zone/track? Not whole act and playlist, but singular zone/track. We all have our favorite areas/music to listen to; but to narrow it down; lets list a single area and track
Gardens of Hope (I like the surgically bright/sterile setting as the backdrop for absolutely chaotic action) MP10/Planet Rock Afrika Bambaataa (it's disco; it's fitting for what is basically visual disco)