Back in my High School years and early college I used to practice road cycling a lot, so for safety reasons listening to music was out of question.
Then for the last several years I’ve been focusing on running (especially trail running). At first I realized listening to music –even at a low volume– while training made me very anxious (since I wasn’t able to get any feedback from ambient sounds; I felt isolated) but after a while, mostly during my long runs in the woods, I started listening to music on a fairly regular basis.
I have some dedicated playlists with music I only listen to while running. I think that helps me get in the mood of training and not “mixing things up”. I listen to different music while at my job or while driving, for instance. By now I can tell you about certain songs I was listening to during an outstanding or otherwise memorable run.
In general, music helps me express feelings and ideas much better than I could ever be able to. It either intensifies (when I want to become alert) or modulates (when I need to relax or focus) my state of mind prior to a training session or competition.