I've always wondered about it. I never see sounds out there, but I can't help but imagining colors with certain sounds. Metallic drum sounds look either silver or golden (colors that drums like cymbals have), some synth sounds are like purple or green clouds, or red spheres, or blue or orange beams. But this doesn't bother me at all. It's not like it disturbs me. Is this synaesthesia or just some psychological association? Why do I do that? Sometimes I associate entire songs to a color, but almost always one of the ones I told.
According to the Wikipedia entry there are two types of synesthesia: projecting synesthesia and associative synesthesia. People who actually see the colors and shapes are those who project. Those who make involuntary connections are associators. Emphasis on involuntary.
Looking for more credible research and citations I came across one of the interesting theories of Denis Smalley, a composer of electro-acoustic music:
It is true to say that vision is at the very basis of the gesture-field, and that the energy motion trajectory is unimaginable without its visual correlations.
This would imply that music, and electroacoustic music in particular, is not a purely auditory art but a more integrated, audiovisual art, albeit that the visual aspect is frequently invisible. That in turn suggests some kind of synaesthesia. This is true, but it would be wrong to regard the vision-field as hallucinatory or as a strong, involuntary type of synaesthesia like that of 'colour-hearing'. Rather, it is a weaker, voluntary, associative synaesthesia which will vary in consciousness and activity among listeners.
The vision-field embraces both kinetic and static phenomena. For example, the textural design of textiles or rock formations could easily form part of a listener's indicative reference-bank. Musicians, because of their interactive relationship with sounds and sound-structures, tend to regard the vision field as extrinsic to music, but our discussion of the indicative networks reveals pervasive intrinsic qualities. Thus vision must be accorded the status of a network.”
Smalley, Denis. (1996). “The Listening Imagination : Listening in the Electroacoustic Era” Contemporary Music Review, Vol 13, Part 2, pp.77-107 (Harwood Academic Publishers).
As found in this thesis: Time Space Texture: An Approach to Audio-Visual Composition