MOD files are a great way to include audio into a game. But creating them can be tricky. You'll either have to download a bunch of instrument samples or you'll need to record your own from the synth. Both methods generally take a while. In addition, you'll need to look for a MOD tracker that supports input from a MIDI synth, or you'll have to track everything with your compter keyboard.
Another method for incorporating music would be to record your music onto an audio CD. This is the method I prefer, but can be costly to set up the equipment to be able to do that.
Lastly, there's the MP3 format. Unfortunately, it's quite a CPU hog thus far. I've not seen it implemented in a way that didn't cause a slight drop in performance on a Pentium machine, and considering it'd be sharing CPU time with the rest of a game's functions, that wouldn't work to well. I have spoken with people who were convinced they could write faster, more efficient MP3 players for use in games, but I don't know if that's actually been done yet.
[This message has been edited by MetalFox (edited July 16, 1999).]
Several suggestions come to mind.