No, they're scientifically proven to do nothing. Take it from someone who has done a lot of real, illegal drugs.
I mean listening to music can change your mood, so it's like a drug in a sense. Put some of your fav on and enjoy the mood lift! Currently listening to the Immaculate Collection (Now on iTunes) by Madge and it's definitely it's own drug
I think it's one of those things that has as much power as you give it.
Like, Scalp_Ha! said, music can alter mood and release brain chemicals. It's pretty easy to just sit down with your favorite song (or any song) and get lost in it, start to daydream or whatever, especially after repeating it several times and getting lost in the groove.
Haven't tried these before, but let's not dismiss the placebo effect - it actually IS effective, because if people are still feeling high from it then it works. Same with a lot of healthy eating so many of you dismiss - if it MAKES people feel healthier, by due of the food or the mind, the thought created by it is effective enough to ride the positive effect. You see?