A recent research paper that I have come across could probably be filed under the "No $h*t" category, although here is some studied proof that using self-selected music helps you get "pumped".
Abstract: Biagini, MS, Brown, LE, Coburn, JW, Judelson, DA, Statler, TA, Bottaro, M, Tran, TT, and Longo, NA. Effects of self-selected music on strength, explosiveness, and mood. J Strength Cond Res 26(7): 1934–1938, 2012—There has been much investigation into the use of music as an ergogenic aid to facilitate physical performance. However, previous studies have primarily focused on predetermined music and aerobic exercise. The purpose of this study was to investigate the effects of self-selected music (SSM) vs. those of no music (NM) on the mood and performance of the athletes performing bench press and squat jump. Twenty resistance trained collegiate men completed 2 experimental conditions, one while listening to SSM and the other with NM. The subjects reported their profile of mood states (POMS) and rating of perceived exertion (RPE) before and after performing 3 sets to failure of the bench press at 75% 1 repetition maximum (1RM) and 3 reps of the squat jump at 30% 1RM. Statistical analyses revealed no differences in squat jump height or relative ground reaction force, but the takeoff velocity (SSM-2.06 ± 0.17 m·s−1; NM-1.99 ± 0.18 m·s−1), rate of velocity development (SSM-5.92 ± 1.46 m·s−2; NM-5.63 ± 1.70 m·s−2), and rate of force development (SSM-3175.61 ± 1792.37 N·s−1; NM-2519.12 ± 1470.32 N·s−1) were greater with SSM, whereas RPE (SSM-5.71 ± 1.37; NM-6.36 ± 1.61) was greater with NM. Bench press reps to failure and RPE were not different between conditions. The POMS scores of vigor (SSM-20.15 ± 5.58; NM-17.45 ± 5.84), tension (SSM-8.40 ± 3.99; NM-6.07 ± 3.26), and fatigue (SSM-8.65 ± 4.49; NM-7.40 ± 4.38) were greater with SSM. This study demonstrated increased performance during an explosive exercise and an altered mood state when listening to SSM. Therefore, listening to SSM might be beneficial for acute power performance.
I personally use my own workout music all the time. Whether I am working out in my home gym where I can have my music blaring through some speakers, or if I am out on a run where I like to take my iPod with me, I find music helps me blast through a workout. This is especially true on those days when I really am not 'feeling it', whether I am sluggish, etc.
Self-selected music helps get the blood pumping and the energy levels up. Music is so opinion-based, however, so what works to get one person pumped up may not help someone else nearly as much. The main thing here is to find something that works for you so you can get the most out of those tough sets.
Quote of the day:
"If there is no struggle, there is no progress."
~ Frederick Douglass