There are many solutions for working out. You can have water resistant headphone which cost from $15-$50. Also, you can choose Bluetooth Stereo headset for working out, I saw Jabra, Motorola, and Phillip have solution for that purpose. It should be around $55 - $100 for this solution.
For me, I use Jabra Clipper with my Seinheiser CX400 (which doesn't design for that). It works fine for me. In my opinion, iPhone casing is another issue. Even if there are my Armband to serve, iPhone is too bulky (for me) to put in my arm. My solution for that is Aquasac to protect against moisture and put it in slot on treadmill!!
