I think Cyanna, the female of my two, likes soft music. Whenever I play my piano (usually "Silent Night" this time of year), she just stares at my fingers for a while, with her head cocked. She usually makes A LOT of noise, and she's only silent when I play.
Snowy, the male, isn't very expressive. I don't think he cares much about music, he'd much rather stare at the food bowl all day. Even when I let him out to fly every day, he just keeps his eyes fixed on the cage.