I almost never listen to the radio, but I do listen to podcasts of some shows that are also on the radio. I almost never listen to a CD all the way through from start to finish, instead I listen to my own playlists or "shuffle" or music podcasts.
Because of randomized playlists and "neighbor radio" on last.fm, it doesn't seem all that weird to listen to one country song followed by one rock song, one rap song, one jazz song, and then a string quartet. I'm also less likely to be in the mood to hear a particular song or album, and more likely to just want to hear something interesting.
I get a lot of my new music from eMusic, iTunes, or legal free downloads. Buying a CD seems like a waste since I'm just going to rip it and listen to it on my iPod, and it will take up physical space on my shelf.
I find out about new music from podcasts, browsing eMusic, or last.fm. What's weird about this is that I find relatively little new music by hearing about it from people I actually see face to face in the real world. Music rarely has the social meaning for me that it once did, except for rare occasions like burning a custom CD to play at a party.
Most of my listening is on headphones or in the car. I rarely listen to music on my home stereo -- partly because my girlfriend and I usually don't agree on what to listen to (or at what volume).
When I look at my iTunes library, I see a lot of artists where I only have 1 or 2 songs by that artist. This is a big change from when I was younger and wanted to collect a lot of material from a few favorite bands.
There are some songs in my iTunes library with a play count of 0. For some of them it isn't literally true that I've never heard the song, I probably played from on the CD at some point before I ripped it, but it means I haven't heard it in years. But there are also some I've really never played. That seems strange.