I forgot to add, unless the sound design or music in the anime is worth listening to. For example, I'll listen to Ghost Hound or Boogiepop Phantom with no external music simply because the work that went into the sound is gorgeous.
Same with movies and OVA's with particularly great soundtracks. I couldn't watch Macross Plus with other music playing, or Tenshi no Tamago.
Looking at both these posts I made, I'm really pulling out the pretentious fucktool card, so I'll clam it for now.