1) I'd upgrade to MP3. A CD player on your back is now a little like a record player in your rack. Too heavy and skip prone.

2) I started doing my weight workouts with headphones, and it is so much nicer. It helps me tune out the clanking of weights, the grunting of weightlifters, and the untasteful background music in most gyms. Even if the tunes on my headset are not the greatest, it is helpful to put me in my own zone. So I see why riding with tunes would be fun. I even read recently that people get better performance listening to tunes during general workouts.

3) just be careful, like others said.

4) I'd be too stoic to listen while riding. I think it would spoil me.