Broke my headset for my MP3 player...

Dad gave me a MP3 player for my birthday... I am in love with it. I load it up with tons of music and feel like I'm in a movie, and the music is my soundtrack. Is it illegal to drive with those things in your ears? I bought a cheap unit that supposedly broadcasts a signal at a low wattage into your car stereo...but it sounded like crap, so I returned it. I guess I'll be buying some more head phones sometime soon.