When a work repeats certain songs sufficiently frequently, fans of that work will associate the song with the work whenever they hear it regardless of circumstance.
This can get distracting.
As far as Video Games (one of the most noticeable media for this effect) are concerned, the Grand Theft Auto series was a pioneer in this area, most specifically Grand Theft Auto: Vice City and Grand Theft Auto: San Andreas, hence the alternative term "Grand Theft Auto Effect". Before those two games, popular music in video games was rare because of the expensive and complex nature of licensing it. Even securing a single song could prove problematic because the nature of the contracts the music industry uses; bulk discounts are exceedingly rare. Then there were the space restrictions of floppy disks and CDs and the lack of compression. Thus, the most you usually heard was a token song or two—rarely of anyone famous, because songs by famous people cost more.
This changed in 2002. After the success of Grand Theft Auto III and the popularity of its (mostly original) radio stations, Rockstar Games was confident that it could make money on a game with nearly 100 licensed musical tracks from several labels. This proved successful, so they took it a step further in the next sequel and licensed over 150 songs without any repeats from the previous game.
In both games, you spent the vast majority of the time in a vehicle. You didn't have to listen to music, but most players would listen to something. Each radio station only offered maybe an hour's worth of content (which tended to jump formats), so repeats were both inevitable and (often) infuriating.
For many people, particular songs had a tendency to stand out and become permanently ingrained. There are many songs in the games and most of them still get played a lot in Real Life, so situations would often come up where a person hears a song on the radio and immediately thinks of the Grand Theft Auto game it was featured in ("I Ran" is an especially common example, due to being featured in Vice City's trailer).
Another curious effect is that a person would hear a song that they disliked or from a genre they wouldn't listen to and it would grow on them as it repeated (which is known in psychology as the mere exposure effect). Advertising at its finest.
You can also get a pang of nostalgia from the stuff that some not-so-famous musicians came up with for the first two GTA games—"Taxi Drivers Must DIEEEEEEEEEEE!" It's just that you're much less likely to run into those songs if you aren't playing those games.
Other works have had the same effect (either through causing it or by being a victim of it) to varying degrees.
The same thing can happen when previously-composed music is used in films (live action or animated). How many people think of "Thus Spoke Zarathustra" as "Theme From 2001", or associate "The War March of the Priests" with the Bugs Bunny short or "Entry of the Gladiators"note as "The Clown Song" from nearly anything to feature a circus. Television theme songs are also a common culprit—for example, The Who's "Who Are You?" as the theme song for CSI. See also Standard Snippet and Signature Song.