Are you actually in the music app when it happens or is it when it is running in the background and you are doing something else?
If it's the latter, it is most likely because your phone is running out of memory and is killing the music player's service.
Go to Settings --> Applications --> Running Services and see if there are any running services that you can remove that would free up some memory.
To confirm if it is a memory problem, run a logger app right after the app gets killed and see if there are out of memory messages being logged or garbage collection going on.