Not during their attacks but while they were en-route
Steven Kazmierczack: listened to Marilyn Manson's The Last Day On Earth while driving to NIU
Brenton Tarrant and Stephen Balliet: These ones are quite obvious
Kimveer Gill: Listened to Ozzy Osbourne or Black Sabbath while driving to Dawson College
Anton Lundin Pettersson: Listened to the KMFDM songs Intro and Blood (Evil Mix)
Nikolas Cruz: Supposedly listened to Salad Days by Mac Demarco while in the Uber going to MSD
Pekka-Eric Auvinen: Its not known if he actually did listen to music while riding his bike to the school, but he had his MP3 player on him, so its a possibility he did, the songs that were on it however have never been disclosed.
Jose Reyes: He, his mother and 2 sisters were listening to Spanish music while he was being driven to Sparks Middle School, Artist(s) and song(s) unknown.
Off-Topic
Well, this one doesn't really count I guess since it wasn't music but Anders Breivik listened to news reports of the Oslo Bombing while driving to Utoya
_________________
"I'll never understand humans. The way they live their lives, their feelings, the things they want to do in life, probably has something to do with these
invisible gods they pray to. Meh" - Kimveer Gill
"Humanity is overrated, isn't it?" - Matti Saari
"Live in virtue, no desire
And in the grave an angel's choir
You look to heaven and wonder why
No one can see them in the sky
Just as the clouds have gone to sleep
Angels can be seen in heaven's keep
Alone in fear, they question why
Goddamn, not an angel when I die" - Engel, Rammstein (English version)