I don't know why I'm having trouble "getting" how the watch and phone pair, but I am. Can I use bluetooth headphones walking/running and the watch functions at the same time?
I, for one, will be pairing or plugging in headphones to the iPhone, then simply control the player with the Watch.
You would only need to connect your BT headphones to the Watch, if you didn't have your iPhone with you. So, some people like to run and leave the iPhone home, but if you take the iPhone with you, just connect to the iPhone and play the music that resides on the iPhone, but control the volume, etc, from the Watch.
I feel naked going out without my phone. What if there's an emergency? I'm hyper vigilant.