Apple filed for an interesting patent application in which they describe methods for integrating external sounds to your iPod or iPhone.
They describe methods based on user preference for integrating external sounds in with the music, or even simply recording the external sounds for later playback (pause, rewind etc...).
One practical application is described involves the user being able to hear announcements made by the Pilot or converse with flight attendants or other passengers on a plane without having to take your headphones off.
This external audio could be piped in alongside your music if you desired. Alternatively, if your missed an overhead announcement, you could presumably rewind and listen to it again.