Once considered laughable, playing music for our pets now has some real evidence to back up the claims that it helps them to relax. Actual studies have been done to see what effects different types of music can have on various animals. Most studies have focused on dogs and cats in shelters, where it's easier to get some data due to the numbers, but we certainly can do our own "tests" at home to see what our furry housemates like.
I discovered the value of music during my early shelter and rescue years when I had to transport many or a few animals to the veterinary office for their intake exams, spay/neuters, and medical care. Sometimes even a solitary rescue could be nerve wracking with all the howling. To drown out the noise, I turned the radio on loud just to calm myself down by listening to my favorite music to relax by - classical symphonic melodies. To my surprise (and delight), it settled the cats down, too. The dogs we picked up didn't seem to mind one way or the other, but I knew other shelters that held more dogs than we did had a problem with barking. They, too, found that music helped diminish the dogs' stress, lowering the noise level.
Currently, our cat Gus has to live alone because he has FIV, the dreaded immune disease that has no cure and can spread to the other cats. Because he's alone, he's lonely, too. He can see the other cats from time to time as they come by to "visit" with him through the screen door, but he misses being able to interact with others. I spend as much time as I can with him, at least twice a day, but he cries when I have to leave.
A couple months ago, I obtained a radio and set it up near his room, tuned to the local classical station. It has made a big difference in his mental state, allowing him to be more relaxed. He still would prefer to be out with everyone else, but he is less stressed overall, is eating normally without vomiting every day, and seems to sleep better. He loves to quietly sit by me, instead of pacing about as he did before we got the radio.
Interestingly, I have learned what kinds of music Gus likes best. As I expected, his favorites are the melodic classics, including Beethoven, Schubert and Schuman, etc., but he becomes annoyed and agitated during the evening programming if the station plays jazz. The more "jazzy" it is, the more he complains. So I just turn it off and he can enjoy the silence for a few hours.
So go ahead and play a radio, mp3 player or whatever you have, to help your pet find some inner peace. This might be most useful when you have to be gone, to help them handle separation anxiety, if that's an issue, or just to help them pass the time till you get back.