I'll respectfully disagree with panda and say that listening critically can be part of listening to music. I'm a classically trained cellist and part of my enjoyment in listening can be recognizing the difficulty of producing a certain tonal color or the way a performer executes a particularly difficult passage.
This kind of listening carries over into the playback chain. Even when I'm immersed in the music I can revel in the way the system is resolving the sound of the friction between the rosined bow and the string. That's not "extra-musical" sound...it's part of the recording and the act of making the music.
To answer the original question, here are a few things that are important to me:
1. Lighting. It might seem trivial, but the light in the room is important to me and can even dictate what I'd like to listen to. If sunlight is streaming in the room I might want a Haydn cello concerto or the band Cake

If I'm going to listen to Gorecki at night I might turn off all the lights and light a candle. This probably falls under "mental preparation".
2. Seating comfort. I've done plenty of listening sitting on a hard piano bench when I'm recording a recital, but I'd certainly prefer a comfortable chair.
3. Clean ears. Now this sounds funny, but I like to make sure I'm "properly groomed" before some serious listening. Something about feeling like a finely tuned machine helps

4. Equipment. I need to MENTALLY feel like my equipment is operating at its peak. This comes back to the finely tuned machine part...
When doing the actual listening, I envision the sound pouring like water into my ears (water that doesn't cause any problems with my hearing!). I attempt to relax into the music and I pay a lot of attention to my breathing. As I let myself sink into the recording these initial efforts fade into the background and become automatic. That's when really wonderful things start to happen! The emotional impact of the music carries its full power and I begin noticing new things - about the recording, about the performance, about the harmonic structure, chord progression, melodic line, counterpoint, etc. It can be revelatory to hear a piece you've heard (and played) a thousand times in a new light.
So, there's my short answer

John