I use Zune Premium V2's.

I actually consider them to be the best headphones I've ever used. Fit them right in my ears.

They've never gotten me in trouble...well, once. With cars I'm okay. On a bike your main responsibility is straight ahead anyways, so just be sure to eyeball everything and you should be okay. Even if you heard a car gaining behind you, you probably couldn't get out of the way fast enough anyways.

The one time they got me in trouble was with another bicyclist, who wanted to pass me on a narrow trail, and apparently expected me to stop and let her pass. I didn't really notice her due to the music.