Lohengrin: Prelude
Wagner and Nietzsche shared a well known friendship that eventually ended, as Nietzsche found Wagner to be too nationalistic and egotistical. Nietzshe's thinking had matured and outgrown the ideas found in his first book The Birth of Tragedy, of which he dedicated to Wagner. His book, Human, All too Human, was a natural response to his loss of friendship with Wagner, Wagner literally falling for the all too human traps of conceited human thought.
Yet Wagner undoubtedly influenced Nietzsche heavily, and this influence made it logical to choose a work of his for the Being & Thought essay focusing on Nietzsche. The Prelude was chosen symbolically. Ecce Homo, whose work is referenced in the essay, The Paradox of Wisdom, served in some ways as a prelude to Nietzsche's own madness, of which he descended into soon after having written the book. So it is the Prelude of Lohengrin that we listen and read to.