While the clinical data is limited, there is a reason dentist offices play music (if only they could play better music!) to distract one. I find music helpful when going through rough patches.
Really? The Claim: Listening to Music Can Relieve Pain – NYTimes.com.

Hi Andrew. Read this with interest. While the findings are in, but not yet conclusive, that music can ease pain I believe that the larger sample will show that music reduces pain. While I am only one, for me, music certainly soothes, and I believe, even heals me. Not a placebo and certainly better than self-medication.