I find myself wanting to be able to hear what's going on and whatever I'm listening to as well. Lately I've been using a Bose shoulder speaker called a Soundwear - I don't think they make it anymore. What I like about the shoulder speaker is that I can actually fall asleep using it at night. When I've tried with earbuds they always fall out and get lost or it's not comfortable to sleep with.
I've heard these bone conduction ones are pretty awesome too. Sony came out with some buds they call link buds that look pretty cool too.