I never wear headphones & steer very clear of those who do because they tend to be in their own little world and startle easily when I come up behind them (read: often jump in my path.) I want to be 110% aware of my surroundings. If I hear a car slowing down behind me, for example, that is a big clue that it might make a right hand turn in front of me.

If wind noise is a bother, you can find small wind-ear blocks that mount to your helmet. It might take a bit of searching but they're out there.

On a personal note, I find music distracting. I want to be able to think, observe and generally enjoy being out in nature. I wear my headphones in the gym where blocking out conversations, overhead music and grunts is important.