On a purely subjective level, my favorite way to listen to music, aside from being at a live show myself, is on LP/vinyl. Yeah I know some people roll their eyes at tube preamps and bemoan the issues vinyl has, (all valid by the way) but on the current system I put together I just love the way it sounds. I can also cast music to my receiver via. Bluetooth or aux input, and so far any sort of purely digital (flac) file just doesn't sound as good as vinyl, and indeed even a CD. Some of the earlier CDs that have an AAD SPARS code sound absolutely incredible to my ears too.
Then just purely the nostalgia factor. For me, my earliest memories getting into music was my parents' box of 45s filled with late 70s/early 80s singles that I would listen to on these large brown Koss headphones. Not even in any sort of sleeve, just loose 45s with the Human League, Duran Duran, The Police, Culture Club, Alan Parsons, etc. Lots of jazz LPs too.
Seeing younger people that never even grew up with vinyl, cassette, or CD getting into the scene is so fucking cool. I don't understand why they buy LPs and never play them though - you can put together a badass little system for like $500! To me, records are meant to be played as much as displayed.
I also still listen to local independent radio stations on FM. WKCR, miss ya Phil Schaap. WBAI, the classic NYC Pacifica Radio station affiliated with KPFA in Berkeley, CA.