I like different music when I'm stressed. I've actually made all the play lists on my ipod according to mood. From bouncy to mellow to angry to depressed and within the playlists I've arranged the music to move me slowly out of the mood so I can go from angry to depressed to mellow or from bouncy to mellow.
It depends on how I'm feeling. When I'm stressed, I like different music to the music that I like when I'm not stressed. Although sometimes when I'm sad I just need some quiet and I find music quite annoying then.
I personally love music when I'm stressed it helps me calm down because it gives me distraction from the problem for a little while at least