In my room. Reading, typing, doing some gym or just lying on the couch. Nothing extremely original but I've never found it especially rewarding to associate music with a particular setting. Like anyone in his sane mind I've taken some raw black metal or Summoning along on lonely woods wanderings, but at the end of the day it didn't improve the experience a great deal, and in such situations I'd much rather let the sounds of Mother Nature fill my ears.
Some albums are better-fitted for driving though, no doubt about that. Lately I found it was the case with The Appleseed Cast's latest "Peregrine".