I've been searching to see if there are any cans that have a built in MP3 player and all I can find are some Skullcandys and Trevi headphones which don't get very good reviews. I feel the manu's are missing a trick here. I would certainly pay reasonable money for a decent set of cans that had inbuilt MP3 playback. They could come with a detachable cable so you can use them as ordinary cans, have a decent battery life (if they can get a iPod Nano 6G to last that long it should not be hard) and good sound quality. There are plenty of bluetooth cans but the quality suffers and is liable to inference and you having to sync it with your phone. A good set of cans could have full control over the DAC, amp and battery life and would just need to take MicroSD cards. I doubt the cost would make it prohibitive. Sennheiser could make a decent pair for $150 or less.
Right now I have to suffer the cable dangling and carry either an iPod or use a stereo bluetooth adapter with my phone (Annoyingly my phone has the headphone out on the side which means I can't put it in my case then in my pocket. L shaped would not fit in either) .
I wish someone would step up to the bar.