RE: Strange phenonenom between sleeping and waking

What you are experiencing are called hypnagogic reveries. These are hallucinations experienced at the transition from waking to sleeping. They are fairly common, but they are usually (80%) visual rather than auditory. They are quite harmless.

At the other end of sleep, some people (myself included) experience hypnopompic reveries: hallucinations experienced at the transition from sleeping to waking. Hypnopompic reveries have been described throughout history, usually in the forms of "night terrors" and "night hags", during which the sufferers awakens (sometimes paralyzed by fear) to find something hovering or standing over them, which disappeared as soon as they fully awakened. (Many scientists have used hypnopompic reveries to explain perceived "alien abductions.") Like their hypnagogic counterparts, hypnopompic reveries are not dangerous, and do not indicate instability or psychosis.

The only possible problem with your hypnagogic reveries would be if they prevented you from falling asleep, leading to a form of insomnia. Otherwise, if they don't bother you, just enjoy the music as you fall asleep.