Sandy = Ronfaure, Chateau d'Oraguille, and the Nation's theme
Windurst = Saruta, Heaven's Tower and the Nation's theme
Bastok = Gustaberg, Metalwork and the Nation's theme
As well as the old intro music at the startup screen called Vana'diel March and the regular mog house music.
The song you set your MH to isn't saved when you log out or leave the mog house. So when you enter again you'll have to set the music again.