This article is a hypothesis and theory paper. It elaborates on the possible relation between music as a stimulus and its possible effects, with a focus on the question of why listeners are experiencing pleasure and reward. Though it is tempting to seek for a causal relationship, this has proven to be elusive given the many intermediary variables that intervene between the actual impingement on the senses and the reactions/responses by the listener. A distinction can be made, however, between three elements: (i) an objective description of the acoustic features of the music and their possible role as elicitors; (ii) a description of the possible modulating factors—both external/exogenous and internal/endogenous ones; and (iii) a continuous and real-time description of the responses by the listener, both in terms of their psychological reactions and their physiological correlates. Music listening, in this broadened view, can be considered as a multivariate phenomenon of biological, psychological, and cultural factors that, together, shape the overall, full-fledged experience. In addition to an overview of the current and extant research on musical enjoyment and reward, we draw attention to some key methodological problems that still complicate a full description of the musical experience. We further elaborate on how listening may entail both adaptive and maladaptive ways of coping with the sounds, with the former allowing a gentle transition from mere hedonic pleasure to eudaimonic enjoyment.