Our new school has a stereo system...how cool is that? We were using some music last night during drills, and often have it on for the Hilot-Chi Kung exercises. Training with music is really great for a lot of reasons:
1) it helps develop rhythm, timing, and flow
2) it can be used for deep breathing, meditation, and chi-kung exercises
3) it can provide a stimulating beat for cardio training
Martial Arts and music go way back. Two great examples are karenza (in Kali) and ginga (in Capoeira). The music provides a framework and pacing for the drills, and helps performers find the rhythm and flow in their movements. Many Filipinos recall traditional village dances that they learned as children and later discover that they are fighting movements disguised in the dancing. They were learning Kali and didn't even know it!
Many people use their ipods or other MP3 players in the gym. The dojo is another place where music can and should become an integral part of how you train. Footwork and timing are at the heart of good fighting, and music can help you find a "fighting rhythm", and discover your opponent's.
In the old days, we used to go clubbing/dancing on a Saturday night after class to work on our moves, distance, timing, and the like. People thought we were just there having fun...
It is true that you can be working on your martial arts all the time anywhere and everywhere, often without people knowing it.