I use these:
They were made by a guy here in Tampa and work extremely well. They use magnets to attach them to the inside of your jersey (around the clavicle) and you can hear the music and all the surrounding sounds and even carry on a decent conversation while riding. For whatever reason, he has gone out of business but they are really simple to make. You can pick up the speakers at any electronics supply place and the rest is just two pieces of plastic and some magnets that you can get at Office Depot. What I really like about them is that the cable is also inside your jersey and is completely out of the way. People that I ride with for the first time, usually wonder where the music is coming from.