Yep, found that out the other day. HOWEVER, most games do not have them. Why? Because its up to the developers to put it in, and in short, sony didn't make it nearly as easy as MS did to put it in the games.

Sony is going to fix this soon with In-game XMB.

Example of a game which currently supports custom soundtracks? High-stakes bowling (or whatever its called), which is available on the PS store, will let you start and select music off the HDD by pressing the select button during a bowlin game.