I use earbuds for my zune! haha.

I have to have some music. I keep it loud enough to hear it but I can still hear noises that I need to hear like horns or shouts.

Lets face it, when you ride you mostly hear the roar of wind in your ears anyway, and if somebody from behind wants to hit you, being able to hear it isn't going to help at all.

It helps keep me focused and pumped and use my eyes.

Can't think of a downside really.