I walk to work, but I still don't have one. I'm just not much on music as distraction. I don't see how I could do any real listening while paying as much attention to my surroundings as I like to. I also like to think, I think about a lot of stuff in my free time. Furthermore, I've developed very high standards for fidelity, so neither the thought of listening to unamped portable, or dragging around an amp and real live headhpones, both of them in a noisy environment, sounds appealing. To be honest I've actually evolved into sleeping from 6 (after work) to about midnight, then listening to music from about 1-3am. It's very very quiet then. And dark.
I do go places sometimes and would like something more compact that my 15" laptop, but it's just not worth hundreds of dollars to me right now. Especially as there isn't a single mp3 player on the market that has what I consider acceptable features, without using potentially hassle-inducing third party firmwares.