I do find music helpful a lot of the time, though I prefer not to use headphones unless its more practical like if I am taking the bus somewhere, and want to hear that rather than chatting and other noise and of course it can be seen as rude to loudly listen to music in the vicinity of lots of people.

Of course sometimes if I am walking somewhere with kind of heavy traffic, without much side-walk or feel like an area is otherwise unsafe then I find it distracting when I feel better being focused on surroundings...but for familiar routes it helps pass the time it takes to walk and can make me less anxious since it gives me something I enjoy to think about.

Listening to music can also help if I feel depressed, it helps if I can relate to the music...whether the lyrics or just how it sounds, I don't really like up-beat music for that I either prefer more mellow music and some types of metal, though other types are better for other moods. Unfortunately there are also times I can't even bring myself to listen to music...that really sucks but that doesn't happen too often.