i've got a sony walkman phone. i find that i can have it loud enough to hear but not loud enough to drown out everything else. Fine for filtering in traffic, but you can't hear the music too well at motorway speeds. fortunately i only have a 4 minute blast down a dual carriageway on my commute.
Look up the sony erikson headphones. they are like no other i've seen... like a rubber ear plug with a speaker. its actually very quiet but you can hear it in the ear... good for listening in the office without annoying anyone.
unless you're and idiot and have it too loud the worst thing about riding with music is that you get the buzz of the music and it might make you go a bit faster
