theres really nothing worth listening to on the radio player and CDs are to bulky. What you need is a small mp3 player that will fit under your bike shorts, run a wire from there all the way up your clothing for the headsets and your ear pieces.
Now make sure you listen to it at a low level so that you can hear things around you when there is stuff around you. Then turn it up when you need that extra push and listen to some oakenfeld.
IMO