I have noticed lots of joggers are listening to their music players while doing their circuit. I suppose it is a way of lightening up the tedium of jogging.
While doing so, an important part of sounds of exercise is drowned out. As you pound the pavement or grass, you should also listen to the sound of feet. Any scuffing/ dragging / shuffling your feet when you moved to the next step means lost of energy which can help run faster and longer.
It also means additional wear and tear on the soles and stresses on the lower limbs. This will cause ankle and knee problems.
So lower down the volume or put away the players and listen to your feet!