Lot of the time on PC thru itunes either when exercising or web surfing of course...otherwise cd player in the car or at home. I keep it fairly simple, don't really have many new tech gadgets etc. I choose not to use an ipod or anything when joggin...like to (safely) hear whats around me...traffic etc. I prefer to mainly listen to live cd / dvd's thru my home entertainment stereo system very loudly of course...get that live feelin.
At one point i accidentally bought a $40,000 stereo so i figured i'd use it. I normally block every source of light by taping over LED's and putting towels under doors and triple layering any windows with thick fabric. I then unplug my fridge and sit in complete darkness in a manly way and don't move until the album is over. The Room of Doom is the only way.
Itunes and headphones while surfing the interwebs and Ipod in the car/ at work/ in bed/ any other time I can either be around my car or sneak headphones on