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.
I recently purchased a Sony MP3 Walkman NW-W202 headband. It fits and works great. I love the cordless option for running. That said, I have had nighmares getting it to connect properly through USB and having any of my laptops recognize it.
I have already taken 1 unit back and the new one worked initially but I now have the same problem. This means that I cannot easily connect to either charge or add/delete/move songs around when I want to.
Any suggestions to 1) wither fix this problem or 2) get another payer that works properly? Any available that are cordless?
Thanks

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic