Either use headphones or keep it way down to keep from bothering other people... You are after all supposed to be working. It really depends on the work environment and what your job is. But a little music usually doesnt hurt
This summer I just brought my new iPod with me to work. That worked pretty well. Before, I used to either bring a few cds and headphones to play them on the computer, or I would just go to the public library nextdoor and pick out something from their rather considerable jazz and classical collections.