Ack, I think listening to good quality music requires full attention from the listener to really make full sized headphones a viable option. When walking, or driving (god forbid), we are so caught up in getting to where we need to go, studying, etc.. we don't have time to stop what we're doing and enjoy the richness of a Grado or Sennheiser.
It is just not practical... just cause you don't see more people doing it doesn't mean it is awkward... honestly, unless you're in highschool, who really cares or worries about people around them.
If you can't live without the best quality sound equipment, then I'd say wear your audio equipment. But for the more "portable" seeking people like me, stick to earbuds, canalphones, clip ons etc. I mean afterall, iPods and iHPs don't serve as premier sources...