I am going to start off with you need to be very careful with these. A little goes a long way. If you over do it you're probably going to annoy the shit out of your players.
I've only used sound effects in one particular game that I can remember and I've kept away from the music because of my own annoying experiences with it. Years ago I ran an Arthurian themed adventure. I did a crap load of research, mixed it with elements of Chinese mythology and in key parts of the adventure I had sound effects. I bought a couple sound effect CDs and used them to enhance the atmosphere. One of the interesting ones I used was a thunder storm. The players were engaged in a losing fight while to storm was raging and in the background a church bell began to ring, one of the players heard it and retreated to the small church for shelter.
I had the tracks written on a paper for sections of the adventure. And I didn't overwhelm them with using a track for every step. In this case I felt it enhanced the game. Over doing it interferes with the game.
Example of over doing it...pretty much every Vampire the Masquerade game I've ever been in. In Vampire's infancy it was novel and cool. For whatever reason the vampires would all gather in these dark, night clubs that played very loud music. Now the Storyteller would flavor the scenario with his own selection of music. Very loud music. The Storyteller would tell us we needed to roleplay with the music on because that was happening in the club. I asked the Storyteller is it was okay to punch him in the face since that's what I'd be doing to the DJ at the club. Yeah, yeah, I got issues, but they knew what they were getting into when they invited me to the game.
Here's where the players, it wasn't just me, didn't like the blaring music. It interfered with the game. I believe we avoided the clubs in the Storyteller's game because he would always want to play his music.
Some folks like to play battle music during combat. Which can add something to it. One of my first experiences with this was running a combat with the William Tell Overture and the players got tense and rushed around the combat. It was great to see the affect it had on them. I did this to varying degrees of success later on.
These days there is very little music or sound effects used. Once in a while the GM will play with the music buttons on d20, but nothing more than for a laugh.
With Halloween coming around there should be a lot of options available for creepy sound effects. If you are going to use them just make sure you are adept with getting them set up and ready to play. You don't want to halt a tense moment so you can find the scary music. It becomes so not scary when you do that. But if done correctly can add a real layer of atmosphere. For the music...choose wisely. Don't turn it up so loud the players can't hear one another. Or save it for special occasions. A small intro piece for an on-going bad guy is fun. Especially when the players get to know the bad guy and you don't have to do anything, but play his entrance music and they'll react.