I always pick one that matches or reminds me of the setting of the world I'm building. Usually no lyrics, but not always.
For Shadow of a God-King, I listened mainly to an Egyptian/Turkish oud mix, and one particularly mournful Arabic song.
For Fey Light it was a kind of post-destruction sounding song that I edited in the sound of howling wind and a fire crackling. It carried the anxious, slightly spooky— but outside the walls of the safe cabin—kind of vibe I wanted in the story, and helped me write it.
For By the Light of Day, I was stuck listening to Marilyn Manson's Speed of Pain, which kind of reflected my emotional state writing that one—kind of emo, kind of irreverent, jaded and furious. The "We die holding hands" lyric hit the spot for that one. Not sure why.
Basically, I pick a song or a list of songs that keep me trapped in the mood of the setting of the world I am creating. That way there is no possibility for my subconscious to escape. So there is no single playlist, but rather, there's a song or playlist that is completely tied to the setting of my world, to keep me immersed in it. And I'll listen to it even when I'm not writing. Most of the time I'm doing something that doesn't need sound, I'll be listening to the song or songs of the world I'm trying to build so I can't escape it.
I know that's really weird, but it seems to work for me. \_(0_o)_/