Some people find falling asleep to music soothing. But it is often difficult to do, especially if the person shares a bed or room with someone who does not share the same enthusiasm about listening to music. At such times, headphones and ear buds come in handy as the natural solution. But they are also not comfortable no matter how much the person involved likes music.
However, sleep phones have been designed to make sleeping and listening to music at the same time, pleasurable and comfortable, which comes in pack of headphones made into a headband and packaged with audio compact disc of relaxing, soothing music to help the user fall asleep. Patients with insomnia find it helpful to fall asleep.

Unlike headphones or ear buds, sleep phones are made to slide over the head like an athletic headband and they can plug into any iPods, mp3 player or CD player. They are also lightweight and washable. They are about the most comfortable headphones for sleeping, as they can either be worm around the head or the eyes like a sleep mask. http://healthful.com.ng/how-to-enjoy-music-while-sleeping/ ‎

This is one thing I never understood. Have come across a few of these types in life and for the life of me can't understand why one enjoys sleep better with music. I prefer quiet rooms devoid of both light and sound to give my brain nothing to concentrate on; there's already too much stimulus during the day, I don't want any extra stress.
The second thing I find funny is these types enjoy music at differing levels -- some enjoy it club loud and others like it low, almost whisper-like. Tried doing the music during sleeptime thing for a while and by the third day looked and felt like someone suffering a caffeine crashdown.

it is not every time you do it. i myself only do it when am tired, bored, worried or find it difficult to sleep, that's when i turn to my sleep phone to give me that needed solution.