First, I'd warn against running on the roads/sidewalks at all while wearing headphones. No, I don't have any "facts," but it seems to be much more dangerous. Sure you might hear a car coming down the road at 50 mph, but the sound of a car coming out of a driveway/parking lot/etc is easily covered up. If you are going to wear headphones while running, please be careful.
That said, leading up to and during exam time at law school I have so little time, that multitasking is mandatory. I love to run (and hate to do it with headphones), but need to study, so I compromise and do both by running while listening to law review audio files. I've found the standard iPod headphones to work brilliantly while running. I've never had a problem with them coming out on the run (unless I've wanted them to). I'd caution against something like the in-ear headphones as they block out even more outside noise and are that much more dangerous.
Good luck and enjoy your running.
Bryon - a runner of 12 years