I use in-ear buds, with foam inserts. I only listen to NPR and audiobooks, so I only use one in the right ear, leaving my left ear open for traffic noise. I imagine they'd work fine in both ears too.
I find that with the closed earbud, I can actually hear better, because it blocks out a ton of wind noise and I can run the player at a much lower volume. I don't know if this would hold true for both ears, let us know.
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