Budgies like music. They like it loud (but not too loud), to give them the feeling it's all around them. This has to do with the "flock spirit" inside the budgies: they don't want to be alone. Sometimes they seem to be more interested in all the background noises in your house, like the noise of the vacuum cleaner (a lot of budgies start singing when they hear it) or the toilet flush (also very exciting), as they enjoy human company and all the new and funny sounds that comes with it.
Most budgies love comforting music. Don't forget that they are prisoners in a strange environment. From my experience, I would say that they are especially interested in classical music, as long as there's a nice melody in it.
They also seem to love it when you're making music for them. They all start twittering excitedly whenever my brother's playing the piano or when my dad's playing the guitar. They also used to scream at my mistakes on the piano. That could mean that they are able to distinguish the false notes like real music teachers. Isn't that amazing?
Even better for your budgies are the CD's with nature sounds and meditation/relaxation music. They love this kind of music, because it's so beautiful and peaceful. You could put this on at any moment of the day. I would also suggest Celtic folk music, partly because it's closely linked to Nature. Some of these tunes can be really beautiful and playful at the same time and I'm sure your budgie will like that too.
If you just bought a couple of budgies, you could put on the Happy Budgies CD to make them feel at home. It appears to be really good and comforting for them. Click here for more information about this cd.