There are probably lots. On the moment, listening to music we like can lead to release of feel good hormones and neurotransmitters (molecules that brain cells exchange to communicate with each other). Your brain may also start remembering things that you have experienced before while listening to this music or remembering similar sounding music, or information about the musician.
Long term, learning to play an instrument changes your brain because you learn the movements that allow to play this instruments, and for example pianists have been shown to develop more differentiated sections of the brain that control the movement of each finger.
There is also suggestion that learning how to play an instrument during development may boost your cognitive capacities.