Just tried a pair of bone conductors in Tokyo (a different brand) and was pretty unimpressed. They certainly didn't offer any SQ advantages over regular headphones, and they weren't cheap either. IIRC they were over US$100.
These thigns probably work the same way as the Soundbug, which you can stick to windows and things to generate a speaker anywhere. I used to stick mine to my forehead. A rather disconcerting experience when the music seems to come from inside your skull. You also needed a fair bit of pressure for a half decent transmission of sound.
Just looked up some of the other products Thanko markets.....boy, what a weird company! Their other hits are USB powered heated slippers, eye warmers, and mice. A gold USB hub. I like how the review of it says that it's the "first Thanko products we've ever seen that actually looks valuable".