I preferred Anti-Flag. Nothing like conquering Europe to the sound of left-wing anti-war punk rock.
I love all that I have heard from HOI3 so far. I think the music is leagues above where the music was for HOI2, which itself improved over HOI1.
I understand the desire for period music, and those who want that can take advantage of Paradoxes very generous modability to make that happen for them.
As for me I prefer the modern interpretations of the period music, as it fits the game play and the general gaming environment much better. Songs like Ride of the Valkyries would get too distracting after a while, as I try to focus on all the tasks that the game requires.
The HOI2 soundtrack is OK (definitely not among the top 10 game soundtracks ever, but definitely a good one) but it's a bit too small and repetitive.
To be honest, I always preferred the EU2 and Victoria model of using Period music.