When I used to work out, I listtened to whatever I wanted to hear. Some days it was Dream Theater, others Marley. I used to use songs to time rotations on different machines (bikes, treadmills, elliptical, etc), so Coltrane's My Favorite Things was frequent tune for the stationary bike. Neil's Down by the River or Cowgirl in the Sand, Queen's Prophet's Song, Zeppelin's Carouselambra or Achilles Last Stand (dubbed "loafers" as these long tracks are perfect for the old live AOR DJs to answer nature's most pressing call). Often, it was the perfect time to cue up the latest album purchase on the iPod and give and somewhat focused listen.
There should be no rules, just what your ears want to hear. That said, I know a bunch of folks use the music to get psyched up or stay psyched up...I find music can make the time pass and that's where my focus was while exercising. Similarly, now I listen to whatever tunes I want when I go cycling and will also bring up some acoustic stuff when kayaking with my son...pumping out of my iPhone as opposed to earphones.