There are tons of mods that add custom music to minecraft. Like this one:
http://www.minecraftforum.net/topic/1032006-125forgemore-music-discs-v12-july-11-albums-and-portable-disc-player/
Although, if you do not want to install any mods, I have discovered that you can actually play .ogg files in Minecraft using the Nuclear Control plugin for IC2, in Tekkit version 3.1.2 (It may work for earlier versions, but I have not actually tested it), and in any version of Technic that has Nuclear control.
In single player, all you have to do is place a .ogg file named "alarm-[name]" in techniclauncher/technicssp/resources/newsound/ic2nuclearcontrol/.
It is still possible in multiplayer, but it is a bit of a pain. First, you must edit the "allowedAlarms" variable in the config file for nuclear control (The server's config file, not the client's one) . Simply add the name of the .ogg file to the list (Without the "alarm-", and each one separated by a comma), and then add it to techniclauncher/tekkit/resources/newsound/ic2nuclearcontrol/. Note that players will only hear the sound if they have the file, those who do not will just hear the default alarm.
Then, in both cases, right click a Howler Alarm (Not an Industrial Alarm), and the sound should appear in the list of files. Just select it and apply a Redstone current, and the song/sound should play. Note that larger files can cause a bit of a lag spike when they first load.