Absolutely! Not only does it encourage participants to take an active role in the class, but also gives them one more reason to come to future classes!
I take requests as well and try to find the music my participants like. I teach water aerobics to classical music. I compile the music myself, and people have been telling me that they come – in part – just because they like the music so well. I hope some of it is also my excellent teaching 🙂