While I have not really got to deep while listening to a CD or a single songs, some songs do have pretty powerful lyrics within them that sends shivers up my spine.
For Example: The 3rd verse and last chorus of Let Down by Radiohead, sends me into a peaceful place where I just close my eyes, and let the music lead me where it wants to go. The same goes for the strings at the end of While We Hunting Rabbits, and Man of Action.
For me music is an outlet, where I can take all my sorrow and pain, and let it vent for me. I let it take control and let it do what it wants. Music is a very powerful tool, that has a broad range of emotions.