I use my phone and listen to music on it. This lets me use my exercise calorie tracker and gps distance apps at the same time.
Before I got the smartphone I used a zune. I can run without music, but the music is nice to help keep my pace steady. I find that if it just me and my thoughts, my pace is all over the map. If I am on a stationary bike, I will read on my nook while I ride.
If I am on the treadmills at the gym I will watch the tv with the hearing impaired feature on so I can read it while listening to my music.