In the 60s artists and musicians teamed up with dancers and theatre folk to create happenings. John Cage, Robert Rauschenberg, Merce Cunningham and many others combined art-making and music making (or in the case of Cage, no music!). A fascinating time to look at how these collaborations set the stage for post modern art.
Earlier, at the turn of the new century, Picasso and Cocteau helped out with the ballets of Dagliev by creating costumes and sets and also helped express the "modern" music of operas.
Most recently, David Hockney has built magical sets for the opera, Mozart's Magic Flute and others.
Look into the watercolor works of Charles Burchfield. His interpretations of sky/cloud forms are based on his love and knowledge of music.
Kandinsky was extremely interested in the relationship between visual art and music- even naming his paintings with musical terms.