Just as an addendum to this...
If you want to play a particular game sound or piece of music, you can search for the file using the MPQ Editor (linked above), take note of the file's location in the directory tree, then create the following macro:
Code:
/script PlaySoundFile("<sound location>")
So for example, if you want to listen to the [awesome] Lich King login screen music in game, you'd create the following macro:
Code:
/script PlaySoundFile("Sound\\Music\\GlueScreenMusic\\WotLK_main_title.mp3")
Make sure you uncheck the "Music" option in your Sound & Voice settings (and your sound effects too, if you want); that way you can hear the macro'd music more clearly. I haven't figured out a way to stop a particular song from playing all the way through once you start it.
Also, there should be four files in your Data folder: common.mpq, common-2.mpq, expansion.mpq, and patch.mpq. Some music may be in other mpq files. For example, the BT music is in expansion.mpq.