The back story for this video is given in this Wired story. Basically they hacked a gaming device that reads brain waves by feeding it into a couple of synthesizers. It's hard to tell how much "brain wave" is actually involved. As crude as it is, though, it points the way to an interesting future.
In this post from a while back (which gets steady hits) there's a quote talking about how brain waves seem to mimic the sound waves of music we're listening to.