Mostly for safety reasons. There are a lot of people out there between volunteers, runners coming up behind you, race officials, etc.
Another good reason is that races are group activities. People tend to encourage each other (or taunt them). If you're in your iPOD world, you're not getting the total experience. I mean hey...you don't want to miss someone saying, "Looking Good Billy Ray."
Try mixing up your training runs. Do some short ones where you don't bring it along. I like having mine too but it's really not that bad without it.
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Fredo, you're my older brother and I love you...but don't ever take sides, with anyone, against the family again...ever.