On a bike path, I certainly will. I rarely get to ride and listen to music... so once every 3 months when I hit the bike path, I jam to my tunes. It makes the time go by faster since I am riding alone.

On the roads, in my cycling groups, I NEVER do.

Honestly though, even without my headphones, I miss cars coming up on me. Especially when they are SPEEDING. I hear the car right when it's on me.