I used a full CD player for a while, which was problematic because on several hour rides I would have to switch over CDs and carry them with me -- now I just load CDs onto a shuffle and go with that, it's lightweight, small, and works great. I understand the obvious dangers with listening, but again, I only wear a single earpiece, and a lot of the time I ride on car-less paths. I try to keep it low enough to hear around me well, too, but anyone who listens to classical music knows that it's very difficult to enjoy (and even hear) at low volumes.

Glad to hear that I'm not the only one who sneaks in some music on their rides. Definitely fun, although I swear I feel guilty about it sometimes, only sometimes.