I've used about 6 different kinds of head phones in the last several years and finally found a pair I love. I use the headphones on my bike, running, and on my motorcycle. I've tried the clip on ones and the ones that sit in your ear (like the ones that come with an iPod, but they always fall out and /or get uncomfortable with a motorcycle helmet or skull cap on. The pressure hurts my ears. So I've found that the ones that sit inside my ear canal are best. I've tried three of them.
I tried the Bose Triport In-Ear Headphones (good sound quality, but expensive and not enough bass for $$) and Etynomics (very expensive, very clear high range, but NO bass at all, definitely not worth the $$) but neither of them sound very good. Both were around $100. While on a business trip recently, I left my headphones at home, so I picked up a pair of Skull Candy ear buds at a mall. They were $10. These are the ones I bought (
link). I will never go back. Great sound, good bass for ear buds, very comfortable, comes with different size ear bud inserts, and for $10, I could destroy/lose these and not care at all. They are awesome, especially for the price.
I'll skip the safety debate for now, but my solution has been to ride with one headphone in and one out. Then I have tunes and pretty good awareness of what's going on around me.