I've used my iPod at the gym in the past on the treadmill and on other pieces of cardio equipment. One time I tried running with it in a park. A small park mile loop...partly a trail...partly paved walkway. I went around one time with the thing and was paranoid the entire time (especially on the trail...which had a few bushes where someone could hide). Despite the volume being very low (and being able to hear the pounding of my own feet)...I was convinced that someone could sneak up behind me and I wouldn't hear them.

I went back to the car and took it off to finish my run. I'd never think to listen to it while riding.

Wind noise can't be helped...but I don't want to miss ANY noise near me if I can help it. Plus, as another poster said...wearing visible headphones might just make someone think you aren't paying attention...and makes you a bigger target than someone who isn't wearing headphones.