Locales run with Ipods all the time but personally I would not recommend after 8 or 9PM so. Again, keep an eye out for who is around you just not the eye candy (and there is a lot of that for both sexes.) I walk from my hotel along the beach path in Ipanema with my Iphone playing music but I always tuck it in my bag and jam it way down in my short pocket.

Robberies and other crimes can happen in any major city. Often its the clueless tourist that becomes the victim because most criminals will go for the vulnerable looking.

You are probably at more danger with traffic. Unlike many US cities with heavy foot traffic, in Rio the car rules the road. Don't expect drivers to yield or slow down for you.