Another great question. I find listening to music very rewarding in three ways. The most profound first.
1. Lights off, eyes closed. Opening my mind as in mindfulness meditation. Not focusing on the music... letting it in and emotionally connect. In a mental state somewhat like emptiness. For those not familiar with Mindfulness. I highly recommend the WakingUp.com web site. Sam Harris’s (Phd in neuroscience) site has a two week free intro... fifteen minutes a day for two weeks. No religion... but training on how to stop the constant stream of thoughts and let experience in. Incredibly worthwhile, even if you do not pursue beyond this. Let the music in and experience it. If anyone doesn't know what I am talking about... I highly recommend trying this. For an incredibly small investment of time you can change your perception in a very positive way.
2. More what I think you mean. Lights off, eyes closed and let your minds eye focus on the music... mover around in it. Experience it.
3. While doing something. I paint and use my headphones every day. The music satisfies some real strong subconscious need allowing my to concentrate on painting. Working I used to use it to help my solve complex problems... it really facilitates it for me. I both enjoy the music... while not at all listening to it, and focusing my analytical side on something else. Great way of doing stuff.