I saw on the news about a guy who was out running with headphones along some railroad tracks and was hit by an Amtrak train going 110mph and he survived. Talk about lucky. Let this be a reminder to everyone who runs with headphones on to not have it so loud, you cannot hear a train horn.
Always be aware of your surroundings. I truly recommend to keep the music for the treadmill. However, when I do use headphones when I am out, I keep the volume low enough that I can hear cars approach, other people and dogs.