I don't normally run with headphones. There's no philosophical, purist reason for this stance. I just find them a hassle to deal with. I'd love to have a personal soundtrack in my head to motivate or occupy my mind while running. In fact, recently I discovered I could alter the tempo of digital music tracks without changing the pitch, meaning I could rev up songs to a beat that matched my stride rate. This was fun to do and I created a whole list of songs that I found to be motivating and which, when adjusted for beat, served as a metronome for my feet.
Unfortunately, I just got tired of dealing with the cord and earphones. I tried routing the wire under my shirt, strapping it down with my heart monitor, different ear plugs and clips...but never found a configuration that was satisfying. As soon as my ear canals would get wet or after enough jostling, I'd be fussing with the gear and getting frustrated. So, I've gone back to ditching the ear phones.
I think it's better that way, anyway. It keeps me from isolating myself from the environment within which I'm running. Besides being more attuned to my surroundings, it's probably safer. Plus, I have been involved in paying keen attention to my body and my performance while I'm running, and though music is a great motivator, it's also a distraction.
That's just me though. Almost 100% of people I see either out on the road or on the treadmills are plugged into something. I guess I'm just old school.