Never found any headphones that work well for cycling. I do have some winter earmuffs with built in speakers that are great for in the winter though.

http://www.180s.com/sub_category.asp...d=4&psku=70256

As for non winter riding, earbuds, or if you don't want anything in your ear, earbuds combined with slipstreamz

http://www.slipstreamz.com/