I use the Sennheiser neckband headphones, much better sound than the iPhone ones and guaranteed not to fall out of your ears. No inline volume control, and can usually be picked up quite cheap.
https://www.amazon.co.uk/Sennheiser-80-ECO-Rugged-Neckband-Headphones/dp/B001IKKDL2/ref=sr_1_4?ie=UTF8&qid=1286105689&sr=8-4
Edited: 03/10/2010 at 12:37