i used to ride with a player, then moved to a single ear solution. this worked ok, but, as i got faster, wind noise became loud enough to make it just silly (i had to crank up the stereo way too much). for the last year, i've just left the players at home. like the other posters have pointed out -- not realizing that a car was on the way is a quick way to make a good ride bad.
now that i have a 3 month old son, i really treasure the peace and quiet that i get from a good ride. in fact, i wish that i could find some way to cancel out the wind noise, now
so, put me in on the 'no headphones' side.