Not only can you play your own music in Guild Wars 2, you can also control when they will be played.
All you have to do is to create playlists which include your tracks and put them into a special folder. This folder can be found under: C:\YOURWINDOWSNAME\Documents\Guild Wars 2\Music\
Supported types of playlists:
.wpl .m3u .pls .asx .wax
Supported types of audio files in those playlists:
.mp3 .ogg .flac .wav .aiff .mid .it
This folder will most probably be empty. You have to name your playlists a certain way to have them played at the appropriate time. The following names are recognized:
All mp3players like WinAmp, iTunes, etc make it really easy to create a playlist. Just create one with the right name and put it into the Music-folder.
If you are using Windows Media player you can run into a problem with the playlist where GW2 doesn't recognize the audio file paths because WMP saves them in relation to the playlist as opposed to saving the full path.
If that happens open the playlist in a texteditor and change the absolute paths including the drive letter.
For example WMP would write \bandname\title.mp3 instead of D:\mymusic\bandname\title.mp3