In a recent live Q&A session, Seb Downie, QA Manager of Killzone 2, was asked whether or not Killzone 2 would support in-game soundtrack. In his response, he had this to say :

“Only for multiplayer via the XMB. In Single player the music is designed to match the action so it would be hard for us to mix up your favourite boyband.”

So, atleast in online play, KZ2 will be one of the first major PS3 games to support the in-game soundtrack feature.