I think that this can be one of those awkward challenges that a new Christian faces since the vast majority of us love music of some sort. I don't necessarily think that we need to only listen to Christian music--as another poster said, those bands are usually managed by a secular recording studio / record company anyway.
Far more important, I think, is to consider where the individual is in their walk with the Lord and to ask Him how He feels about the effects of certain pieces of music in your life. Another great thing to consider and learn, in my opinion, is an awareness of how you feel when listening to certain songs.
It's all good and fine to want every aspect of our life to bring us closer to God. That's great and we should definitely be having those thoughts. But as much as we are to be in the world but not of it, we are still here and part of our reason for that is to help others find the Lord. A lot of times we get so bogged down in stuff like "What kind of music is it okay for me to listen to?" that we worry about that instead of focusing on the bigger picture.
When people see that they don't see the beauty of having a relationship with Jesus; instead they see "If you want to follow the 'Christian God' (I find a lot of people around here who aren't Christian call our Lord this as if its an insult.) you have to do this, and this, and this, and this and this..." And it keeps them from realizing that (1) Beginning to build a relationship with Jesus is the first and most important thing a would-be Christian needs to be considering. and (2) The things we may ultimately conclude are necessary to give up--which can be the same in some circumstances, but which also may be different for various individuals in others--are not on a check list given to you by any human the day you decide to believe and are not all carried away in the middle of the night. This type of change is a process and it tends to go on throughout the course of our life as we deepen in our relationship with the Lord and mature in Grace.