When going solo, I always run with a new iPod Nano. It doesn't matter if I'm running outdoors or inside on a treadmill, I love running with music. I even ran the NYC Marathon with two iPod Shuffles: one for backup just in case (though I only listened to music for the last 10 or so miles). Running with an iPod is a great way to zone out, but it's not without drawbacks. Here, a list of pros and cons to keep in mind when running with an iPod and headphones.
Pro: It's a great distraction. Listening to some music can really pump you up for a run and get you into a zone.
Con: It's a distraction. If you're running on a road, especially a busy road, or anywhere that fast cyclists may zoom by, listening to music at too loud a volume could put you in serious danger.
Pro: It can help you with your pace. Create playlists of songs with similar tempos to keep yourself going through a difficult run. Or, choose songs with a beat slightly faster than your pace if you're hoping to increase your speed.
Con: It could turn into a crutch. If you rely on noise from your iPod to mask your heavy breathing, footsteps, or just to help you get through a run, you might have trouble not listening to music. Many races have banned the use of iPods (or strongly discourage them), so if you're training, try a few runs sans iPod so you know what it feels (and sounds) like.