http://skeptoid.com/episodes/4147
"[...] while the claimed science behind binaural beats is unfounded, this doesn't mean that the effect isn't real and simply unexplained. Maybe you can listen to a certain binaural beat and induce a desired state, but for reasons we don't yet understand. So let's take a look at the research, and see if such an effect has actually been observed. [...]"
..follows a lot of background info, with references, and at the end of the article he comes to the conclusion:
"So, in summary, binaural beats certainly do not work the way the sellers claim, but there's no reason to think they're any less effective than any other music track you might listen to that effects you in a way you like. If they make you sleepy (like they all do for me), use them to go to sleep. If they relax you or get you amped, use them for that. But don't expect them to be any more effective than regular music. If someone you know claims that they are, put them to the test, and bust the myth."