... Like I said, I've never done anything with frequency, but I've studied it...
While waiting, I'll study FFT.
In the meantime how do I " .... create a multiple band analog filter " ?
You can build analog filters with [u]op-amps[/u], or there are specialized filter chips. For multiple bands you need multiple bandpass filters. That's WAY more complicated than using the MSGEQ7.
Digital filters (and FFT) are a specialized area of programming called DSP (Digital signal processing).
FFT is similar to a digital filtering.
FFT gives you the amplitude of multiple frequency bands which they call "bins".
Depending on the resolution (and processing power and some other compromises) you can get an almost unlimited number of frequency bands (bins). Usually, you have many bins which are are combined for fewer "filter bands" (for a couple of reasons).
FFT is more mathematically complex and software intensive than filtering, but there are software libraries so FFT should be easier.
With software filters you might be on your own. You can find general examples for digital filters (in C++ etc), but it wouldn't be that easy to "port" to the Arduino. Plus, multiple bandpass filters would present an "interesting" multitasking challenge. 
Beat detection could be one way of doing it, I think. If I play a tango, servos will move different than if I play Rock and Roll ?!?...
...Let's say I play Beethoven's 5th symphony. It starts by ta ta ta tam, ta ta ta tam ... and some or all servos
(will decide later) go from 0 to 180 degree.
Bohemian Rhapsody's intro could maybe just do 0 to 90 or to whatever comes close to the song.
You can't really tell what song is playing by "analyzing" the audio. (There are powerful servers on the Internet that can do it.).
So, I suggested you check YouTube to see what people were doing with lighting effects but if you want "see" the spectrum information for you own music [u]Audacity[/u] can show you the [u]spectrum[/u] of the selected audio or a [u]spectrogram[/u] of the whole file. And, it normally shows you the regular waveform.
There is a 3rd-party [u]Spectrum Analyzer[/u] plug-in that will show the changing spectrum in real time as the audio plays. If you have Windows and you want to try it, download and install the 23-bit VST version (Audacity for Windows is 32-bits). If you need help for that there is an Audacity forum.