Most people would tell you that you need to turn off any background noise when you coach an employee on anything - music, the TV, people talking loudly, etc. Complete attention on the task at hand is required for the most part, and I agree with that.
I'm going to take it a step further - I think you ought to PAUSE the media in question when in feedback mode if it's playing something you're interested in. I'd even ask for their permission.
Here's your back-story - on the road with another Kinetix team member recently, and we were driving to a client's location. We were talking about how it was going and what needed to be adjusted. Things were going well, but I had some feedback on how my partner could do even better, so I started to coach.
10 seconds into the feedback/coaching, I look down and see the cut playing on Pandora (email subscribers click through for photo):
I find myself in a big Wiz Khalifa mode right now, so I didn't even miss a beat - I stopped coaching and asked for permission to pause the Wiz Khalifa. Not turn it down - pause it - for later consumption.
Permission was granted. Laughter was a part of that. The coaching felt less formal as a result. It wasn't corrective in nature, it was just things to explore how to get better.
The message - I think the more you do to be human and less formal when you coach, the better it is. Asking for permission to pause something that was playing is a part of that. Unusual request? Maybe. Could you be critized for not having full attention to the employee in question? Sure.
But would you rather send the message that coaching means the world stops, or that it's a normal part of life and other things can preserved while you give feedback? I like the second option.
BONUS - I tied in the desire to pause based on the fact the employee in question actually made a Fast and Furious reference the night before.
Feedback should be informal enough to pause media rather than turn it down and lose the cut.
Pass the Wiz Khalifa.
(Note - I like Wiz because he seems non-violent and has a great voice. I wish his songs didn't have as many drug references as they do. KD is drug free and wants you to be too.)