You have to enable the asynchronous mode for the Playground.

Add this at the top (Xcode 7, Swift 2):

import XCPlaygroundXCPlaygroundPage.currentPage.needsIndefiniteExecution = true

and your sequence will play.

The same for Xcode 8 (Swift 3):

import PlaygroundSupportPlaygroundPage.current.needsIndefiniteExecution = true

Working MIDI example in a Swift Playground

import PlaygroundSupportimport AudioToolboxvar sequence : MusicSequence? = nilvar musicSequence = NewMusicSequence(&sequence)var track : MusicTrack? = nilvar musicTrack = MusicSequenceNewTrack(sequence!, &track)// Adding notesvar time = MusicTimeStamp(1.0)for index:UInt8 in 60...72 { // C4 to C5    var note = MIDINoteMessage(channel: 0,                               note: index,                               velocity: 64,                               releaseVelocity: 0,                               duration: 1.0 )    musicTrack = MusicTrackNewMIDINoteEvent(track!, time, &note)    time += 1}// Creating a playervar musicPlayer : MusicPlayer? = nilvar player = NewMusicPlayer(&musicPlayer)player = MusicPlayerSetSequence(musicPlayer!, sequence)player = MusicPlayerStart(musicPlayer!)PlaygroundPage.current.needsIndefiniteExecution = true

Great MIDI reference page with a nice chart