Yeah, and also new gyms now build iPod docking stations into their treadmills, bikes, etc.
The live version of “Brian Wilson” by Barenaked Ladies is my go-to song for kicking it up a notch on the elliptical. Normally I go at 6.5 to 7 miles per hour; “Brian Wilson” forces me to 9.5-10 mph. Gasp, wheeze, buckling knees.
This seems appropriate for the topic:
I give you XKCD- mostly awesome, with a hint of kick-ass.
I also second podcasts. You’d be amazed at how fast an hour flies by with an interesting podcast. On my iPhone right now:
EconTalk
The Brewing Network
Chess.FM
Common Sense & Hardcore History
Composer of the Week
ESPN Radio - Best of Mike & Mike
The Guardian’s Football Weekly
London School of Economics events podcasts
The gym is also good to catch up on tv shows you missed - I’ve gone through The Wire and House entire at the gym, not to mention Firefly waaaay too many times to count
Having spent months one time getting rid of a persistent fungal infection in my ears, the idea of trapping warm moist sweat in there while running/cycling/swimming gives me the shivers. Plus I like to hear what is happening all around. So I play music in my head.
Si
Ever tried a bone conduction headset? I hear they’re pretty effective without covering your ears. I would guess the only downside is still hearing the gym noise.
Perhaps you linked to the wrong set? The Sennheiser PMX80 Sport Series II you linked to is a set of earbuds that have a headband connecting them. They still fit in the ear canal.
Ah, you’re right. Here ya go.
Something like this might be an option if you want to give it a try: on-ear, with clips to hold them in place.
Won’t block out much outside noise, won’t trap excessive moisture in your ears. Er, well, obviously there isn’t anything that would work while swimming!
Ahem. 
Uses bone conduction, too. And if you have persistent bouts of ear fungal infections, mix equal amounts of white vinegar and rubbing alcohol, and put a couple drops in each ear after showering or sweating. Alternatively, use one of the OTC ear drops like Swim Ear.
I’m very susceptible to swimmer’s ear, swim frequently, but prevent it this way.
Ah - I missed that post the first time around!
While this isn’t necessarily what an exerciser is looking for, someone who wants to listen to music while falling asleep might find these useful. I haven’t tried 'em (though I do use my Nano when falling asleep - usually I just plug in one earbud on the side I’m not lying on).
I pity the po’ fool that doesn’t think the Rocky theme is the greatest workout song ever. Selections from Riverdance are also great to work out to.
I credit Green Day, My Chemical Romance, and Fall Out Boy for the 50lbs I lost a few years ago, and I’m not embarrassed to say it. 
I keep a bunch of workout playlists on my ipod, and switch them up depending on how long I plan to spend and how my joints are feeling (my hips, knees, and ankles all SUCK, but that’s a rant for a different day). I think my favorite running song of all time is California Uber Alles.
Dude, I was the same way–I originally bought an iPod Shuffle back in '05 for the purpose of working out, and it made things way more cooler. And I’m just gonna say, that with the proliferation of podcasts, nothing is ever boring anymore.
I just zone out and work 450 calories out of my blood.
Tripler
Zoning out under acceptable conditions is cool.
I almost mentioned thinking about trying them, but the gym is noisy anyhow and (as I said earlier) when outdoors, I like to keep touch with the environment.
Believe me, I sweat profusely, and even on-ear is more than I want to risk.
Fortunately, it was only the once, and while I swim plenty now, I don’t seem to have an issue. But the times I have tried anything on my ears, I can feel the sweat in my ears. So I don’t.
Si
When I don’t read on the Treadmill, I have the ipod. Heavy metal is the main course and I have a playlist just for the gym. It can really make the time fly and helps me go faster/run harder to boot.
Just remember, An ipod does not render ones’ flatulence silent. An old guy at my gym did not know this apparently.
Hey, better out than in.
I picture when you get to “As sure as Kilimanjaro rises like Olympus above the Serengeti” your matched pace goes spontaneously spastic leaving you a tangled mass of compound-fractured limbs poking out of the wreckage of the elliptical. Did that happen? 
I, too, used to ride a stationary bike while wearing an I-pod. But a stationary dog came up and bit me on the ankle. I never heard him coming.
Yeesh. Don’t remind me, please. Someone needs to get on Steve Jobs to invent a nosepod ASAP.
I’ve tried listening to recorded books and podcasts but I find myself getting into whatever exercise I’m doing and am unable to concentrate on the book. I have started listening to music but I keep it turned down fairly low and use it more for background noise to drown out the TV and other sounds.