I have a pair of headphones and earbuds. Aint no way I'm going to run or workout or snowboard or something along those lines with headphones, earbuds are a necessity. Actually this helmet I'm getting for snowboarding has a place for real headphones, shits tight. But anyway, yeah, you need a good pair of earbuds.
I agree with Rukas, gaga earbuds? lol. Just hit up newegg and similar sites and see what is on sale at the moment. Spend like $50 or so and they're all gonna be the same if you get em from a good company. Sennheiser, Koss, Skull Candy, even Sony with some pairs.