(a resource for nwn2 builders)

BMU stands for BioWare Music Unit. This is the file format for background music files. AFAIK, essentially, it's an .mp3 file with some tinkering done on the first few bits of the file and the extension changed.

Here are some tools to convert bmu files:

MP3toBMU 0.35
http://nwvault.ign.com/View.php?view=Other.Detail&id=225

Prince Rouse's Mp3toBMU and WinMP3Converter
http://nwvault.ign.com/View.php?view=Other.Detail&id=821

Using the tools above, you can convert all the music in the Music folder under Program Files to an mp3 and listen to them.

You can find information on the BMU format in this NWN1 tutorial on custom music. (Note that a good deal of this has changed for NWN2).
http://nwn.bioware.com/builders/sounds_bmu.html

At the time of this writing, there are still some complications with bringing your custom music into your module, and I remember seeing a post talking about improvements that will be coming soon. If anyone has any resources along these lines, please let me know.