I ride my unicycle quite often with music. I also ride on and off sidewalks and generally do tons of unsafe things.

On a bicycle I rarely ride with earphones, but touring this summer some of the guys brought mp3 players and used them for only one thing: Climbing long climbs. For that they were great because you can zone in and enjoy the music instead of focusing on your legs burning at 6 mph.

I say use them if you want. Know there's a risk of not being able to hear traffic. I think with a mirror it's probably fine unless you're in a busy area with a lot of stop lights. Even then it's your choice.