It’s very important to thank your customers for waiting. Being on hold is not a desirable experience for anyone. The least you can do it thank your clients for their time and to help them not feel neglected.
A study by New Voice Media found that 51% of customers decided to stop availing a company’s services because of one bad experience of customer support.

Did you know that well-designed on-hold messages with pleasant, enjoyable, smiling narration, have the power to make your callers feel more confident about retaining your services? It also increases their trust in your company. It's tricky, but the reverse is really true. An unpleasant delay provides your callers with a great opportunity to judge your facilities and customer service.
Where this creates an extra snag with music on hold is that the loudest part of a song doesn’t typically come in until the final chorus or reprise. This means that if you just listen to the first 10 seconds to check that your new hold music is working, then chances are you’ll be blissfully unaware that three minutes into holding (just as customers are beginning to feel irritated anyway), you start playing a sound like fingernails on a blackboard to them.