I never run with headphones. Too often the situations I end up in are not ideal listening conditions. These have included coming face to face with a skunk, being scared have to death by squirrels running through dead leaves, falling through ice and landing in cold water up to my thigh, then my most recent was almost ending up under someone's Ford Explorer. Running in New England, particularly Massachusetts is hard enough on its own.
If I did though, I might end up buying the cheapest, smallest MP3 player Amazon has, along with a really cheap set of ear phones. This way, if it got dumped on the sidewalk or something, I won't care.