I always thought that putting on music specifically for sex play was really corny. (I mean, if music happens to be playing then that's cool, but putting on music specifically for the event feels like you're forcing things.)

Try some Wagner, Ride of the Valkyries. Good humping music!

I'm partial to "I'm a Little Teapot." Perhaps that's just me.

Songs are good, I like more modern rock stuff myself. One song that is particularly good for setting a soft, tender mood is If Everyone Cared by Nickleback.

EDIT: The link takes you to a youtube video of the song.

How about Sarah brightman - Figlio Perduto:
http://www.youtube.com/watch?v=T4h33wVe6Aw

Sade is always a classic:
http://www.youtube.com/watch?v=REzKhtWznHI

Thought about it some more and came up with some more good ones.

Here Without You - Three Doors Down

Far Away - Nickleback

Seize The Day - Avenged Sevenfold

Higher - Creed

Here is one you might not expect: Roulette - System Of A Down

Glycerine - Bush

Kryptonite - Three Doors Down

Just about all these songs are nice and soft, fairly romantic and some of them have special purposes too. Far Away can be used after a long period of not seeing each other. Here Without You could be used before you spend a long period apart. The important part is to find a song that speaks to you, and I find that these songs speak to me. There are quite a few country songs out there that are good for this purpose as well, short list follows:

When We Make Love - Alabama

It's Your Love - Tim McGraw

Touch Me (When We're Dancing) - Alabama

I'm Already There - Lonestar

I Believe - Diamond Rio

Amazed - Lonestar

I am sure that these will give you an idea of what I am refering to. Hope this helped some.