Music activates the parts of your brain believed to be responsible for experiencing pleasure or reward. Specifically:
”...listening to music strongly modulates activity in a network of mesolimbic structures involved in reward processing including the nucleus accumbens (NAc) and the ventral tegmental area (VTA), as well as the hypothalamus and insula, which are thought to be involved in regulating autonomic and physiological responses to rewarding and emotional stimuli. Responses in the NAc and the VTA were strongly correlated pointing to an association between dopamine release and NAc response to music. Responses in the NAc and the hypothalamus were also strongly correlated across subjects, suggesting a mechanism by which listening to pleasant music evokes physiological reactions. Effective connectivity confirmed these findings, and showed significant VTA-mediated interaction of the NAc with the hypothalamus, insula, and orbitofrontal cortex. The enhanced functional and effective connectivity between brain regions mediating reward, autonomic, and cognitive processing provides insight into understanding why listening to music is one of the most rewarding and pleasurable human experiences.”
From: http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6WNP-4GMGWC0-4&_user=4422&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_searchStrId=942227060&_rerunOrigin=scholar.google&_acct=C000059600&_version=1&_urlVersion=0&_userid=4422&md5=75e9228f05f8b8849ffe561a1164ced4