I personally can't stand any music that is soft enough that I can hear anything else. I'm not saying that outside noises bother me it just doesn't sound the same if you aren't bleeding out yer' ears.
I enjoy a healthy dynamic range: music should be loud because it is powerful at the moment and intended to be loud, not because I turned the knob on my stereo up all the way. The quiet sections should likewise be quiet. Also, I like not being deaf and don't enjoy listening to music that is constantly so loud it is physically uncomfortable for my ears, such as the music blasted in nightclubs.
In general, I have found I play my music less loudly than most people I know. Though for people like my brother, who is constantly blasting his music so loud on his earphones that the songs are clearly audible to me several feet away, he may have just caused himself enough hearing damage so as to be more deaf than me.
Honestly depends on the style of music. Classical can be both soft or blasted, but some things can only be played soft, like ambient, while others can only be loud, like pirate metal.
I don't blast things often since I like to be at least slightly aware of my environment as well, but sometimes a song is so good that I'll be forced to turn the volume up to pick out every detail!
Another reason I don't always blast is because I value my hearing, especially since I'm a drummer...I do enough damage to my ears in band practice as it is, I don't need other musicians ruining my hearing :P
Depends on the mood and setting. If im outside, ill keep the volume on a respectable level allowing me to enjoy my music while still being able to pay attention to the activity and environment around me. If im at home relaxing then the speakers are set to maximum over drive.