I'm thinking a wireless headset would possibly work.

The iPod Touch has Bluetooth connectivity for a wireless headset, but frankly it's rather big and bulky for exercise activities.

Last year Sony had a number of A and S-series players (far smaller form factor) with built-in Bluetooth capability, but that's missing in the latest Walkman releases out on the market, and apparently the pending Walkman units that DO have Bluetooth scheduled aren't (officially) coming to North America and perhaps even Europe, if indeed you're in either of these locales. If you can still find a NIB of one of these, a Bluetooth solution might work for you.

Sony does make a couple of wireless Bluetooth transmitter adapter that supposedly works with just about any DAP/PMP device. Both currently goes for about $50 on Amazon. In theory, either of these would open up any number of players for wireless headphones.