I used to enjoy listening to the cricket that was being transmitted some incredible distances on a local AM radio station while I was learning to fly. Espeically as it was during an Ashes series and the better side *cough Australia cough* were thrashing the poms.
Now I use a Lightspeed Zulu headset and plug in my iPod with music playing from taxi to shutdown. It has the option of muting the music during ATC transmissions or anything coming over the intercom (which catches you out if you start singing and the music dies). Personally though I find that feature frustrating and instead spend a bit of time setting up the volumes so that ATC / intercom comes through loud and clear with the music as a pleasant background. I've yet to find a time when I've needed to pull the plug and cease the music altogether, although running out of batteries in you'r iPod during a long sector once you're used to it incredibly frustrating.