Not sure about file types but you can redirect a number of folders individually - in addition to what you can natively in GPOs. Take a look here:
[HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders]
If you already have some folder redirection in place you'll see the settings live here, so change the My Music or Pictures or whatever you want here also.
Then of course you can always create your own custom ADM files to push those settings out like I did. I suspect you're looking to do something similar to myself, redirect my documents and desktop, but keep music, pictures, videos all local so you don't take up space with what is typically non-work data.
Something like this:
CATEGORY "Redirect Music"
POLICY "Change My music"
KEYNAME "SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders"
Explain "Redirect my music to local drive"
VALUENAME "My Music"
VALUEON "%USERPROFILE%\local settings"
VALUEOFF "%USERPROFILE%\My Music"
Windows Vista\7 has a lot of really nice improvements re: Folder Redirection and Offline Files