This question may sound stupid, but can you play saved music files on a PS3 or 360 while playing a PS3 or 360 game? An example of this would be Arab Money being played while playing Sonic Unleashed 360 in ASZ (Arid Sands Zone). For more information on this example, look at Blueblurcentral's SU360 walkthrough of ASZ.
Yeah, wrong place for the thread but every single 360 game supports custom soundtracks and some PS3 game support it.
And under certain formats only. Killzone 2 for me won't play music off the memory stick unless I do stuff beforehand.
Playing music off the HDD or a (possibly) USB thumbstick won't interrupt your game, but any other sort of removable media will force you to go back to the XMB and restart the game to play it.