Dear Urk,
I know exactly the situation you are dealing with. I was in it myself. I used to idolize music, in fact. One day, God showed me that when I listen to certain bands, they bring sinful thoughts into my mind and heart, thoughts that cause me to flirt with sin and/or right out sin. For instance, I would smoke marijuana and listen to Atreyu. I don't know if you can identify with that or not... I also find that when I listen to Christian radio stations, and I'm out in the world, it is very hard to sin because the message of the songs are keeping my heart towards God. I listen to only 2 secular artist's now, the rest of my CDs are Christian.
Whether you keep certain bands or not is between you and God. It is not a matter of listen this not that so much as it is how does this music affect my heart, my relationship with God, and my testimony to others.