Just to the left of the Power/Lock key, you’ll find a 3.5-millimeter headset jack. Notice that it’s a headset jack, not just a garden variety headphone jack. It doesn’t just let you listen; it accepts incoming sound as well. That’s so you can plug an earbud headset (or other kind of headset) into it and use it for making phone calls.
Of course, it’s also a headphone jack, so you can plug in headphones or even external speakers, and enjoy the Droid X as a music machine, because it offers full stereo.