I've taken sound effects from EverQuest, Doom, F.E.A.R., WoW, and Neverwinter Nights (as well as few oddball ones here and there) and used them for my games. I use a program called Audacity when I want to mix a loop (prepared before the game, naturally).
To play the sounds, I use VLC Media Player because it is very light (on system resources) and I can open multiple copies of it simultaneously. So before the game, I may have a handful of ambient sound loops ready to go (e.g. thunderstorm, drippy caves, wading through water) and I'll also have some event- or npc-based sounds ready too (e.g. a sudden strike of lightning, a dragon's roar, a huge door slamming shut).
My players really have taken to it.