There have been some studies that suggest that certain types of classical music, especially baroque (the above link will show you a sample of Bach on the same page, or you can find more here). This may be because the rhythms have a calming effect on the brain - around 60-70 beats per minute - or because the music itself helps relaxation and improves the imagination. It's certainly true that in language and creative writing classes, quite a popular technique involves playing slower classical (eg baroque) music before or during an exercise, and students often say it helps them.
However, most kinds of music are more of a distraction - especially if the music is too fast or you are listening for lyrics - and people who think that loud, fast music helps them to study are often just so used to noise that they don't notice it. For others, the key to successful concentration is silence. You can find out which works better for you if you try these activities.