In fact, there is a utility available which allows you to do exactly that, and it's free. Visit http://scummrev.mixnmojo.com and download SCUMM Revisited. SCUMM, you see, is the file format which LucasArts use for their games, and SCUMM Revisited lets you examine and access these files in detail.
What you need to do, then, is download SCUMM Revisited, put in your Grim Fandango CD (if you don't have one, you'll just have to buy the game), and open the music data files. Press the button labelled 'Decompress to WAV', and you'll have the Grim Fandango music of your choice in all its glory on your hard disk.
Unfortunately, there won't be room for much else! You'll need several hundred megabytes of free space to hold all the uncompressed files. What you need is an MP3 encoder; you should be able to find a free one on the internet without too much trouble. MP3 encode all the WAV files, so that they take up approximately one tenth the space and there you have it. Excellent music, whenever you want.