Some of Apple's canned themes come with a preinstalled musical soundtrack, and some don't. If you'd like some music to play during, for example, the Sliding Panes theme, you'll have to install it yourself.
You can also replace the music that comes with any of Apple's themes with a song you like better. In the case of musically challenged themes like Anime Pop, this ability is a true blessing, possibly saving lives and sanity.