Of course, I think that that applies to nearly everyone. Music´s role in human civilization is absolutely intertwined with other forms of art or feeling. Just try to imagine your favourite film free of its soundtrack. I tend to think in atmospheres, or moods, rather that linear thoughts, so I would definitely say that I associate the music I listen to with other realms of my life. When I listen to my favourite classical music, I find a close connection between it and my favourite art, poetry and architecture (late victorian, art nouveau). If I listen to a certain Porcupine Tree number, I remember driving through the mountains in the summer with the sun on my back. Tristania brings wandering through frozen woods in the dead of winter to mind.
... and so on.