Two things:
1. Understanding even debased, modern art is important as it is a pretty good indicator of where culture is going. Just engage it clinically and with discernment. I listen to songs I despise just to know what the elites are trying to force on our kids and what to make of the total idiocy I see during the Superbowl.
2. Artists are like thinkers, authors, and so forth. God does not forbid us from engaging them. They can at times present the truth in novel shades. My avatar is (right now) my fellow mandolinist, Peter Buck of REM. I find philosophical and spiritual richness in their music and can appreciate the questions they ask.
Like every other bit of world engagement, our base is the Bible. No matter how much I appreciate the wise words of a Roman Emperor, I rest under the same roof as David and Solomon. When you feel you are drifting from that standard, hit the breaks, pray, and come home.