The best thing is the SIRIUS boom-box in a dry bag.

I let my cat make the music. I can't imagine not hearing the transom suck when I sit (or stand) too far back, or the rig shake when I'm too sloppy on the main.
IMHO, it takes all five senses to really get into the "Zone" of sailing.

Here's mine Complete with lanyard so your hat doesn't blow away!!

If you want to do it right, there are ways to truly pimp your boat! For the Tybee this year we had an awesome sponsor who is in the bussiness of building custom waterproof stereo systems. Full Wave Audio is a company based out of Florida, and together with Tripp at Composite Systems Inc built us a fully waterproof, amplified stereo with two 9" speakers, and an Ipod in an Otterbox all housed in a fully custom carbon fiber case. We had control over the Ipod through the Otter Box and switched between setting up playlists vs the shuffle feature. This is the MacDaddy of stereo systems, and had enough balls to rock out the entire beach if we wanted to, as well as plenty of juice to get us through entire days on the water.
Check the pic, or can also check it in Video at adventureonline.tv, tybee 500 videos, Pimp My Ride.