You can't always be looking over your child's shoulder -- nor should you. But you can help limit his or her exposure to inappropriate material by setting parental controls on Internet and television, and by limiting the amount of time he or she is allowed to spend on those activities.
If your child has an MP3 player, let him or her know that anything on it is subject to your approval. Privacy is important for kids, but you also have the right to know what they're into. If you notice that they're listening to songs with objectionable lyrics, or watching music videos that are way too mature, talk to them. Explain why you don't think it's appropriate, and allow them to voice their opinions, too. Kids will likely be more receptive to that approach than to a no-discussion, no-explanations ban.
Remember, you were young once, too, and probably had arguments with your own parents over what music you could or couldn't listen to. Whatever it is that your kid's interested in, give it a fair shot before you say "no." Just because it's not to your taste doesn't mean it's necessarily bad. Music is one of the first forms of self-expression kids latch onto. Give them the freedom to grow, and they will.