It's hard for me to understand why people choose to walk around in public wearing headphones. I'm aware that it's incredibly common, but you put yourself at risk of theft, accident, and of course the mild hearing loss that accompanies _any_ frequent headphone usage. In the case of both theft and accident, you cannot hear your assailant coming, and miss the queues that would otherwise keep you safe.
I am very lucky to live in a city/country where risks of theft from my person is low - when I lived for 20 years in London I never once felt unsafe listening to music.
The closest was two young men got very close to me on the tube, when I was playing on my brand new Hong Kong imported PSP - but I just took my headphones off. I think they were just interested as most people hadn't seem one in the flesh yet.
I can't say I know of anyone personally who suffered theft or accident caused by them listening to music on headphones.
When I cycled a lot, I had a small speaker strapped to my handlebars rather than wearing headphones, as I liked being able to hear cars around me - but when I was younger I regularly cycled in headphones, and was still able to hear enough of the road around me to not feel that I was missing anything.
Remember, we don't make drivers drive around with no music and their windows open, so that they are better able to hear cyclists...