Relying on a considerable amount of public transportation daily, (I'm not talking about amtrak here, that's for sure) I tend to be at the mercy of an mp3 player and lower quality headphones - though not earbuds, thankfully.
That being said, any physical format is a step up. CDs really are quite good for Classical Music and digitally recorded Metal, and obviously anything recorded analog sounds incredible on vinyl. Having a good stereo system is key, and I even suggest digging up or buying a cassette player if you have some tapes in good condition. (tricky, but worth it if you like 80's Death Metal!)