I’ve been able to do that since I was a child. Once I’ve heard a musical selection a few times, it’s engraved on my brain and I can play it back perfectly in my head -- especially if I’m in an environment with a neutral droning background noise like highway traffic or machinery.
I've also got that - can listen to music all day without being plugged into anything. Besides the whole "not having to carry a device around or worry about wires snagging or earbuds falling out" aspect, it's better than any iPod or Walkman because I can also make my own loops and mashups or invent new music on any model, all just by thinking it.
The downside is that I’m constantly plagued with earworms.
I get that sometimes, but it isn't too often and usually not an insurmountable problem. Usually.