The stereotypical "love scenes" in movies often involve people playing music in the background, but do many people really do that? I always thought it was kind of cliche. I do think some background noise is useful, but I prefer a movie playing.
I am a humongous NIN fan - but all the jack asses I knew in college ruined the song Closer for me. But I could fuck to the whole 2nd half of Pretty Hate Machine - and probably "Suck" and "Physical" from the Broken EP.
I have a nasty habit of drowning out background noise, so I'm flexible if one or the other is requested. But my f*ck anthem is Paralyzer by Finger Eleven if given a choice.