Oh, I'm quite sure our pets are enthralled by music. Like humans, my pets have different tastes.
When our Molly was sick last year, I started singing Irish lullabies to her. I was making them up as I went along, but don't tell her that. :-) I can't sing worth a flip, but she would always shut her eyes and go to sleep whenever I sang to her.
Odd thing - my nephew, who is both autistic and has mild cerebral palsy, used to calm down whenever I would sing to him, too.
Depending on whatever I'm listening to at any given time, I have pets either sitting on the floor by the computer or high-tailing it to other spots in the house. Molly definitely doesn't like rock music!