ADF is the easiest way. Tends to get you either oldies, or country. Both of which are good background music, since I turn it down lower so I can hear ATC anyhow. Other alternatives I've used:
Wire up my portible intercom into the built in system, to allow for a music input. It will blank out when transmitting (and receiving too I think, haven't used it in a while so I forget).
Wire in a bunch-o-radioshack-style connections. Get what is needed to wire in your walkman, CD player, MP3 player, whatever into the headphone jack on the headset. It works, but is a little harder to deal with turning down all the time to listen to ATC if it drops under your feet.
Use a built in system. Few planes have them, but many audio panels allow for an aux input of some sort. This allows a audio panel on/off by button/switch, and usually integrates a cut out type funtion, like my portable intercom system will do. More common on non-rentals.
Use the built in radio/CD player. Been in a couple planes with them, and they work ok. About the best overall, but again, more common in non-rentals.
I had a friend who told me he put earbud style headphones under his headset, in one ear, on his solo x-country flights. Guess that is an option as well.
In general though, ADF is the only easy option, so the music is either in another language, country, or oldies. There is one soft rock in the bay area that is ok as well I've listened to a few times. So those are generally what are listened to by me.