Audio and Video Illusion called the McGurk Effect
It is true, music is best heard when your eyes are closed or if you can get really really close to the stage performer.
Everyone knows this because visual cues can at time be distracting. Visual cues like special effects and music videos can also enhance the sound experience.
Simply what you hear with your ears, can actually be overridden and changed by what you see with your eyes.
The McGurk Effect demonstrates the interaction between our hearing and vision systems. The audio and video illusion effect can be demonstrated when sounds from one video is being used as the sound for another video.
Watch the video that explains it the best.