I used it when I ran. It helped me to steady my breath and my pace. Also just to focus on something other than my feet hitting the ground or how far I've gone. I don't like using my ipod in the gym or when I'm walking because I hate feeling like I'm not paying attention to what's going on around me.
It depends. I love listening to music and often do while I'm working out, but sometimes I want to just completely zone out and be quiet while I exercise. After a full day at work and school talking to people, listening to people talk, etc. I sometimes just want to move my body and zone out my mind.
When I'm on the treadmill I have to have my music. It keeps me going, and helps me to focus on something other than how long I have left to go. Otherwise, when I am doing my TBL dvd - nope.