As stated above, Peter's score to Grim Fandango includes more musical influences than probably any game score I've heard. The orchestral bits definitely honor the classic film noir scores from movies such as Casablanca, The Maltese Falcon and The Big Sleep. You might be interested in checking out film composers Max Steiner and Adolph Deutsch. The jazzy parts are influenced by legendary musicians such as Duke Ellington, Benny Goodman, Glenn Miller and the likes. Peter mentioned going to some L.A. swing clubs for inspiration when composing the music, too. (There are many sub-genres in jazz so it's difficult to say exactly which type of jazz you would enjoy, but here's a useful link to Verve Music Group (
http://www.vervemusicgroup.com/) -- click on the JazzEd button in the navigation bar and you'll find a page that helps you find your favorite jazz styles.)
The ethnic tracks include mariachi plus Peruvian and Indian elements. This is what you can find in the "world music" section of your record store and library; the albums are usually categorized by country so it shouldn't be too difficult to locate something similar. Look for older folk music rather than newer pop music, though. ;)
A bit off-topic, I found it extremely entertaining how Peter included bars from "Internationale" in the sea bee's revolution part of the game. A very cultivated detail which further strengthens the emotional impact of the scene.