It's hard to recommend listening to music through headphones while riding. It can be a distraction and there's no doubting it affects awareness, but plenty of riders still do it.
If you're such a rider you could do a lot worse than trying out a set of Slipstreamz. Cheap and effective, they hold the ear bud type headphones (these are modelled on the iPod) next to your ear but not actually in it. This enables you to hear what's happening around you because surrounding noise and approaching traffic can still be heard. They attach to the side of your helmet strap and the covering, although a little odd-looking, helps baffle out the wind noise. They're also extremely light, are machine washable and add a bit of warmth on cold winter days.