I used VB.NET and the Un4Seen BASS library to create this cool little music light show. I can play any sound file (.MP3, .WMA, .WAV, etc.) through my computer and get a custom light show based on the music.
I analyze the frequency constantly of the song as well as the amplitude. I then separate out the frequency into three different categories (LOW, MID, HIGH) and send a command via the serial interface to the Arduino instructing it to light up the LED (PWM of 2 - 255) that corresponds to the frequency.
I have 3 videos up showing it in action on YouTube:
The second video is my favorite.