I do it all the time with songs I want to learn to play.
Starting and stopping the song while learning it just doesn't get it for me a lot of the times. It helps, but it's better to know what it sounds like in my head rather than trying to follow it while listening to it.
Turner Model 1 C-LB, Seagull S6+, Ibanez 12 string, Dean Bavarian Vendetta
VOX AC50 CP2, Roland RE-20, Boss CE5
Kurzweil SP88X, Yamaha MM8, Roland R-5
TASCAM 38-8, Behringer SX4882, Alesis Midiverb III, Alesis Midiverb IV, DBX 262, DBX 266, Omnifex DDX1024, TASCAM DBX Type II NR
Sennheiser MD441, Shure SM57, SM7, Sennheiser 402's