Headphones are bad news when running outdoors. They are a distraction, can lead you into a false sense of security and can mask the noise of approaching traffic/bicycles and other pedestrians.
A running magazine I read reviewed a pair of headphones once, but added the advise that you should only wear headphones in the gym.
I very rarely see any runners in the UK with headphones, whereas almost every runner I've seen in the US wears them - why?