This is not to say that you should wander around with your headphones on the whole time, drowning out the city sounds. Give yourself a day or two to soak in the local soundscape and become familiar with the traffic patterns. Once you’ve gotten a taste, it’s time to turn on your ipod and realize that you are in a movie, you are the hero, and this is your soundtrack.
PS: On a recent trip to London I spent a lot of time listening to the Miike Snow Album (Deluxe Edition). It was pretty rad.