Since the sinking of the Titanic a debate has raged on about the last moments of the band, led by Wallace Hartley. The known facts are that the band began playing in the First Class Lounge around 12:15. Sometime after that they moved out onto the boat deck playing upbeat contemporary music to keep up the spirits of the passengers while loading the lifeboats. Multiple survivors testified that the band continued to play until the very end.
On a personal note, I believe it doesn’t matter what they played, but the fact they continued to play is the important bit of information here.