If you want the same music each time you enter the room, set it on the Map Properties.
If you want one BGM to play sometimes, but another BGM to play at other times, depending on what's happened in the game, use a Parallel Process event that does a Conditional Branch based on whatever it is that decides which BGM to play, add a Play BGM command in the 'true' and 'false' blocks of the conditional branch, and right at the end of the event, add an Erase Event command. This is something you want to do once, at the time you load the map. Not something you want to do continually while you're on the map (you only play the BGM once, not over and over and over - that will cause lag).