For the past year or so, I've walked between 1 and 6 miles a day at my local park (weather permitting). Putting headphones on never struck me as an idea, which is strange because I had them in basically constantly when I was wandering the UF campus all day a few years ago.

I enjoy listening to the animals / birds / insects, and tossing friendly hellos to the people walking by. (Actually, maybe that's why -- at the park where I walk, headphones would feel slightly antisocial)