I listen to music when I ride on bikeroads (don't know what they're called, the special paths made just for riding and walking) but not in the city. I think it's easier to keep up a good pace with some music (I listen to dance/trance music..). I listen to music all the time anyway and I always have my nice small MP3 player with me. I also ALWAYS carry an extra battery with me just in case 
Even if I didin't listen to music I would keep those things in my ears because they block the wind very effectively.
I don't think it's illegal here in Finland to listen to these while driving anything.. Not sure though.
Do or do not - there is no try. -Yoda