The thread title and the poll question aren't quite a match haha! Preference versus actual practice.
Although the answer may be the same for many people, happily for them since they will have extra satisfaction.
How do you listen to music? Speakers and headphones
What is your preferred means to listen to music? Live, at the premiere with the composer conducting/supervising/approving/attending, and with the original chosen soloists and orchestra
unless it was music performed by my absolute favorite artists, in which case my preference would be to attend their greatest live performances of a work.
Since I can't travel back in time and all over the world, I have to settle for listening to recordings haha! I used to listen exclusively to speakers, but since I got Sennheiser HD 660S headphones, I use those for almost half of my listening, depending on the music. For certain compositions and recordings, I prefer the visceral impact of speakers.
I actually don't have a problem with the 'music inside the skull' effect of most headphone listening (none of my music recordings are binaural), since it gives a different insight into the music for me. Taking the envelopment effects out of the way, headphone listening allows me to easily notice details in the composition or orchestration and sound palette that I don't hear the same way with loudspeakers. Complex counterpoint and instrument/voice layering are very easy to follow with my Sennheisers (assuming adequate quality of the recording, of course). With speaker listening, I tend to follow the composition as a whole sound world. So the two types of listening are complementary for me, and each affords its own joys.