During your youth, if you paid any attention in science class then you should know that electricity and water do not mix. This is pretty much a universally known fact and is not new information to you. Yet, this warrants the question of whether or not these types of devices are a risk in the bathroom. The short answer is no because as long as they have a water-resistant or waterproof housing, the internal electrical components will not be exposed to the water.
Yet, if you decide to manually plug your MP3 player into the device while showering that could be considered a safety hazard. Of course, most designers will limit the amount of voltage their device is powered by to limit any potential danger.