Eyes open or closed?

Depends. They're always open when I'm driving, for example.

Open, and with good imaging I can see the performers. Especially with a black background.

Closed eyes I'd be asleep in no time. 

I generally listen with my eyes closed.  @cleeds exception noted.  I like to daydream when listening to music.  OK, sometimes I nod off, but generally speaking, If I'm sitting listening to music with my eyes open, I get distracted from the music.  It's much easier to slow my mind down and get immersed in the music with my eyes closed.