Well, this group of MIT grad students hooked up an oscilloscope and measured whether radio signals were blocked or attenuated.

They found that, pretty much across the board, the change in signal amplitude was less than 10 deciBels, either in the positive or negative direction, for a very small overall change.

However, there was an interesting thing that happened at just a few frequencies. In particular, at radio frequencies reserved for government use. Care to hazard a guess? Let's quote from the article:

   

Using a $250,000 network analyser, we find that although on average all helmets attenuate invasive radio frequencies in either directions (either emanating from an outside source, or emanating from the cranium of the subject), certain frequencies are in fact greatly amplified. These amplified frequencies coincide with radio bands reserved for government use according to the Federal Communication Commission (FCC). Statistical evidence suggests the use of helmets may in fact enhance the government's invasive abilities. We speculate that the government may in fact have started the helmet craze for this reason.

And they have graphs to back up their claims, too. Check out the reading from the oscilloscope:

Oscilloscope Measurement

I think the conclusion is pretty clear here. Listen to the music without your tinfoil hat, otherwise the government could influence what you're hearing!