Check out this post Siobhan Milner wrote for To Be Personal Training about the physical and mental effects of music during exercise.

We often play music during our boot camps, and we know there’s more than a few of you out there who never run without your iPod.
In fact, there’s evidence that listening to music while you exercise could help you get through the workout by reducing how difficult you perceive the work to be, and can even increase your muscular endurance .
Music can make exercise seem easier for us by taking our attention away from how tired we feel during low-moderate exercise (1,2,3,4), and while it might not make high intensity exercise feel easier, it has been found to make exercisers enjoy hard exercise more! (1)
I’m sure we already know that music makes us feel good – that’s why so many of us also choose to listen to it in the car, when we’re with friends, or when we’re just feeling blue.
Interestingly, music has been found to have a ‘psychobiological’ effect during exercise (4). That is, a psychological effect that then affects the way our physical body functions. In a study conducted on treadmill running, runners were found not only to perceive exercise as easier, but their heart rate, blood pressure, and even exercise lactate was also lower than when they exercised without music (4). The researchers hypothesised that this might have been due to the relaxing effect of the music, decreasing muscular tension and therefore increasing blood flow, lactate clearance, and decreasing lactate production in the working muscle (4).
Read the full article for free at tobept.com.
References
(1) Karageorghis, C., & Priest, D. (2008). Music in Sport and Exercise: An Update on Research and Application. Refereed Sports Journal.
(2) Karageorghis, C. I., & Terry, P. C. (1999). Affective and psychophysical responses to asynchronous music during submaximal treadmill running. Proceedings of the 1999 European College of Sport Science Congress, Italy, 218.
(3) Nethery, V. M. (2002). Competition between internal and external sources of information during exercise: Influence on RPE and the impact of the exercise load. Journal of Sports Medicine and Physical Fitness, 42, 172–178.
(4) Szmedra, L., & Bacharach, D. W. (1998). Effect of music on perceived exertion, plasma lactate, norepinephrine and cardiovascular hemodynamics during treadmill running. International Journal of Sports Medicine, 19, 32–37.