The best solution I've found is to use a flash memory MP3 player that has a clothing clip or an arm band. Flash based MP3 players are small, light and skip proof. Some MP3 players, like the RIO FORGE, will include a removable elastic armband that will allow you to wear the player high on your arm where it won't generally interfere with your run or your workout.
Choosing headphones is more difficult and personal.
MP3 players generally include earbuds that may or may not stay in place while you exercise. Some earbuds just barely stay in your ears, but some have an integrated or detachable over-the-ear attachment that will keep your earbuds over your ears. Some people prefer headsets, but they, too, can be difficult to keep in place.
I've used many wired and wireless headsets, earphones and earbuds in the past. I've owned and used noise canceling headphones that have cost $200 and more, but I'm incredibly pleased with Koss “The Plug” portable headphones that sell for only $10. The most important thing is that Koss Plug earphones sound great. They reproduce deep bass and trebles with a quality that regular earbuds can't matc
h. You insert them into your ear somewhat like a hearing aid and they're comfortable because the tips are made of a soft rubber foam. Since they are in your ear, they don't fall out like ear buds can, especially when exercising. The seal that is created by the foam tips are surprisingly effective at eliminating outside noises like the hum of a treadmill motor. I now use the Koss “Plugs” for plane travel because I think they perform as well as some of the expensive electronic
noise canceling headphones I've used.Koss Plug headphones are small and have a very thin wire so they're easily wrapped around your MP3 player when you're not using them. Because I often listen to audio books, not music, I don't always have a need to wear both
the left and right ear plugs. So, I bought a second pair and cut off one plug and lead wire to make it easier to listen with one ear plug only when I walk or drive.
Koss “The Plug” portable headphones aren't for everybody, but at $10, they're worth a try. Ten foam tips are included free just in case your tips become dirty or worn. Search at www.Froogle.com for “Koss The Plug” to find them for about $10 plus shipping.