I love books. And I love music. Among other things, of course, but these are two of my passions. And if my genres in literature are somewhat limited, when it comes to music I do listen to a lot of things (although I stay mostly in that wide circle of Rock).
Listening to music while reading is (or at least used to be) pretty much the norm to me, and this can lead to some strange connections between songs or albums and books. For example, while reading Tehanu by Ursula K. Le Guin I was constantly listening to Queens of the Stone Age album Songs For The Deaf, and this album will always remind me of that book (especially the song A song for the Deaf), and the book will make me want to take the CD of its casing and play it really loud.
This does not happen a lot, I tend to listen to mixed music. But whenever I listen to one album in constant loop (or a song in constant loop) and I'm deeply engrossed in the story, what I'm listening to becomes a soundtrack to the book.
And this is not exclusive to proper music. While reading Kafka on the Shore by Haruki Marakumi I discovered a flash game, called Coma. It is actually a pretty good game - you should try it. There is a dreamlike feel to the game, and an amazing song that plays in the background. And you what? I can't help but associate that song (and that game) with Kafka's time in the Forest.
But there are other dimensions to this Literature-Book thing. There is a lot of music around that has been inspired by books (and the other way round too), but it is actually kind of fun when you find such music and you are reading the book.
One of these songs is IAMX's Song of Imaginary Beings (although there is a demo version by Sneaker Pimps, also very good), that takes inspiration from Jorge Luis Borges' Book of Imaginary Beings, and was one of the reasons I started to read it.
Another example is a band that I love, and that uses literature as the main inspiration for most of their albums. I'm talking about Blind Guardian. They have songs inspired by Lord of the Rings, Discworld and Arthurian Legends. But best of all, they have an entire album dedicated to The Silmarillion by J.R.R. Tolkien.
I really like Tolkien (and as a Fantasy fan it would be akin to heresy to say I didn't). I like The Lord of the Rings, I love The Hobbit [and Hurray for the upcoming movie!], and I like The Silmarillion (and The Unfinished Tales). So an album dedicated to a book that I love by a band that I love - that was something I had to have. And it is really great to read The Silmarillion while listening to Nightfall In Middle-Earth.
And my last point is about songs that are in itself a story. As far as songwriting goes, there is not set formula. Some say whatever comes to their minds, some write songs full of hidden meanings, others come up with proper storylines.
Recently I've came across a song by the band Rasputina, called the Snow-Hen of Austerlitz. The lyrics of this song are just like a dark fairytale, and it makes me wish for the continuation of the story.