I can't use an armband when lifting weights. It gets in the way. I also never got used to the extra weight of my old iPod on my arm. My gym plays decent music anyway, and I often have to ask if a piece of equipment is in use, or if I can work in a set.
All I keep in my pockets are the keys to my locker and my iPhone covered with an Angel wristband. Everything else is locked up in the locker. It's much safer in there than in the car. There are way more car break-ins at the gym than locker break-ins. A lot of guys don't even use a lock in the locker room.