I'm practicing listening to bird songs and calls, as part of learning more about birds and their ecology in my region of Piedmont and Mountains. It's a LOT easier than it used to be, thanks to digital technology.
I've used CDs, chip-based players, and web-based programs in the past, but I've been delighted with the two digital field guides (available as 'apps') that I'm using currently.
I first used Thayer's eBird software on my laptop -- it's a nice program with a web connection capability, but it's on my computer or laptop, not on a field device.
iBird Explorer Pro was the first birding app (purchased) that I used on my iPod Touch. It's great. It runs on both an iPod Touch and an iPad, allowing you to listen to songs and calls, and view images and photos of birds. What a gift to be able to review songs and calls in the field, connected with photos and illustrations, along with their ecology, etc.!
If you're in range of an internet connection, you can connect to more information online, too. Woo-hoo!
Sibley's Guide to Birds (the link is a review) is also available as an app (another purchase). It's great, too, and there are even more song and call examples per species to listen to.
These two field-guide apps have similar interfaces, and cost just as much as print field guides, but the ability of taking them with you, with sound, wow. What's not to like about that?