There are some other options as well. If you use a 3/4 or full helmet, you can install helmet speakers and use wired or bluetooth.
It may be a little fiddly, but you can attach a bluetooth transmitter to your radio or MP3 and get some good bluetooth helmet speakers like the Cardo Q2 or even better, the
IMC Camos (uses A2DP technology for STEREO bluetooth. Personally (no offense meant), I disagree with most positions taken against wearing headphones while riding, bicycling, running, walking. The argument always comes down to the fact that you cannot hear what is coming at you. This began back in the late 70's with the advent of the Sony Walkman; Some users would crank the volume, tune out the rest of the world, and walk into traffic. This may have led to people getting hit by cars in crosswalks, but I doubt it had much to do with their ears - I don't LISTEN for traffic. The problem here is the same as it is on bikes in my opinion; Your eyes are much more important and useful to be alert to your surroundings, just like it is for cage drivers. Have you ever heard a pedestrian walking behind your car while you were backing out? Suppose you are on your bike and you hear a dumptruck bearing down on you - will you be able to move? Maybe. How will you know where it is and where to move yourself to? Can you hear a good parking space?

I am not advocating the use of earphoes at all, I just don't buy the reasons given for avoiding them. On the plus side, molded earplugs with speaker inside can cut down on the damaging effects of wind noise while allowing you to enjoy your tunes.