I can definitely say that listening to music on a skydive is very fun. It's certainly not something I would do when jumping with others, but DSE is right... sunset jumps with music are sweet. Although probably not with Creed. I take mine with a little drum n' bass. The DZ I jump at most of the time is a small one in farmland so I don't usually have as much to worry about as far as traffic goes, although it's always good to be wary. But burying your toggle to some crunchy techno is lots of fun.
Be careful, though, because mp3 players can get ruined quite easily by pressure change and extreme temperatures.