I have a very tiny (half a cigar) Flash memory iRIVER portable. http://www.iriveramerica.com/
I can offload MP3 files from my hardrive in seconds to the flash memory. I can digitally record voice or music from any source. I can listen to Fm.
All the above with headphones attached.
Other people use Ipods. Some people just listen to their car radio or car CD player.
HOW DO YOU LISTEN to music?
I go for long walks along the Trinity River and put my iRiver in my pocket and put on the headphones.