Not only does it depend on the type of music, but also the type of equipment used and the quality of the original recording, like others have said.
I recommend using absolutely no EQ settings at all -- that way, you'll get as close to what the artist intended as possible. Excess bass in a song changes the way the artist intended it to be delivered, as does excess trebel or midrange.
If you're experiencing lackluster performance from your digital audio setup, I would check these things in order first before resorting to modifying and distorting the music with an EQ:
1) Quality of original recording
2) Speakers (cheap-o speakers? EQ won't help)
3) Audio hardware (amplifier? pre-in? type of connection?)
If you're stuck with crappy speakers and a shoddy amplifier, I would recommend modest EQ settings -- not to the extreme of cranking the bass/midrange/high-end, though. If your equipment is up-to-par, though, I would highly recommend a flat EQ setting (turn it all the way off preferrably), as that will faithfully reproduce the original recording the best.