iXoundWear. Caps and headwear designed for music on the move. Put your MP3 player where your ears are. Around $15.95.
iXoundWear products are designed to hold the iPod Nano (1st and 2nd generation) or the iPod Shuffle (1st and 2nd generation) in a tight compartment built right into the headwear. They even have a sleeve for the wires and a spool to keep them neatly wrapped up. With your iXoundWear cap (or visor) you can be as active as you want and never have to worry about getting tangled up in your wires again.