Do any games do this?

..stream music from the internet for in game music as opposed to storing the music files on CD/as part of download?

Given quality music files, even compressed, make up a good amount of the download size of some independent games would it be better to have the option to be able to stream the game music from a website?

Anarchy Online does. There's a "club" in the game that plays music streamed from somewhere.

Depends on how you define option, I guess. If the only choice I get is to have no music or to stream it, I might not be too happy. If my choice was between having limited music with more options available via streaming, that sounds fine.

I'd say, only if the game already requires you to be online to play it... I wouldn't make a single player game with no online anything, require you to be online to hear music.