Using Spotify, there's a nifty program called Equalify:
http://www.equalify.me
Simply close Spotify, then install it, then start Spotify up once again. Start playing any song, then the Equalify button should appear. Click on it to make the equalizer appear. Then, right-click the equalizer and there will be an option to allow you to change the output device that Spotify uses. It'll ask you to restart Spotify again. When you do, the output device will be changed.
This is what I use to listen to music through my headset while streaming my games, to avoid any nasty potential copyright crud with songs.