I usually don't listen to anything while I train, but lately I have been. Only because I finally found headphones that fit in my ears well. I do like to listen to music though mostly because, for me, parkour is a very spiritual experience. Being a musician as well, anytime I listen to music, it's very spiritual. When I have both at the same time, the two facets of my self-expression are connected and gives me a feeling of euphoria beyond description.
Sorry if that sounded like it was full of bs but anytime someone tries to describe personal feelings like this it comes off sounding a bit pretentious.