If you want to listen to music but still be able to hear your surroundings then this is a cool solution, the Vibe Body Sound Headphones, listen to music through your bones.
The Vibe Body Sound headphones clip on to your outer ear and conduct vibrations through your skin and cartilage. Those vibrations rumble through your skull directly to your inner ear where you hear them clear as a bell. All the while, your ear canal remains uncovered, allowing the sounds from the environment access as well. Carry on conversations and never skip a beat.
They have 3 effective volume (vibration) levels, low, medium, and tectonic! Which sounds somewhat skull rattling. You can buy the Vibe conduction headphones from Think Geek for $99.99.