At home, I listen to CDs or the Power Metal channel on AOL Radio.
When I am driving, I listen to CDs
At work or on the train, I listen to the tunes on m BlackBerry. AT work they usually have a plug-in to have your BlackBerry play over the radio speakers
I prefer flash drives where possible. I put a head unit with a USB port in my work van. I have a DVD player on my home theater that accepts a flash drive, so I use it there as well. Unfortunately, my car doesn't have a USB port, yet. I either play CDs or hook up my Ipod in it, but I am moving away from the Ipod and plan on getting another head unit with USB. I usually put about 15 CDs on the flash. It certainly will hold much more, but that is where I like it as far as being able to scroll through it fast enough and they are cheap enough to keep a bunch of them.
Car! I have a 6 CD changer so I put in all my favorite CDs (at the moment) and rotate. I'm "old fashioned" like that. I think right now I've got the 2 latest Accept albums, and the rest is Judas Priest.
Even though I collect CDs, 97% of the time I listen to music on my iTouch (usually at work or in the car). If I really want to sit down and listen to a certain album or a few songs then i'll use my CD stereo at home.