I use in-ear buds with my 2G iPod Shuffle (perfect for riding). I keep the volume fairly low so that I can hear everything going on around me (you can pull up next to me and talk and I'll be able to hear you).

As far as tunes as of late:
Laika: Lost in Space
Sea and Cake: Everybody
Wes Montgomery: Incredible Jazz Guitar of...
Tommy Guerrero: A Little Bit of Somethin'
American Analog Set: Set Free
Moose: random singles/EPs