It could be something that only happens with my computers, but I noticed that when I have Windows Media Player playing music and my computer freezes, the music continues to play fine until the end of the song, then it stops. I eventually have to hold down the power button to do an hard-restart on my computer. How is it that the music can keep playing when everything else is frozen?`
The technical reason is because WMP is using the DSP directly to play the audio. Here's a short, example workflow.
Because the DSP does not have to rely on any more processing from the CPU nor does it need to traverse the system bus it can continue uninterrupted until the buffer is empty.
Like I said, this is just an example of what might be happening. The real/detailed/technical reason depends on the specifics of your audio system.
But seriously, shouldn't you be more concerned about a crashing/freezing system than wether or not it plays sound?
How do you know your computer is 'frozen'? What are the precise symptoms? Frozen is a very generic term that is nearly meaningless about describing what the actual problem is. Computer software is extremely complex and failures can happen in many different locations each with different results.
For example if something in the User Interface fails, then your computer could be unusable in that you where no longer able to provide any input, but it could continue whatever tasks it was working on.
There have been instances where I have had an unresponsive computer at the console, but I was able to actually use remote-desktop to connect to that computer and save things, and reboot it.