Well, Dekay, that helps explain it. The "getting lost" feeling is an interesting one. I agree that the idea of distracting your mind from some of the agony and/or boredom of exercise is attractive. I do find, however, that I like the way an aggressive, pushing, driving bit of music makes you feel like the pain you're feeling from the effort you're making is being enveloped and welcomed by the music. It reinforces your work and makes it feel almost poetic. The rebellious, defiant energy of rock works well this way to help you feel like "c'mon! Let's push it!"
