I've just bought a pair of waterproof headphones from Aquapac, costing £32 including delivery.
While they'll be very helpful while I'm running in the torrents of rain which seem to hurl themselves on Glasgow on a daily basis this winter, the main reason for having them is to record podcasts on the water. I monitor the input while I'm recording so I can detect any unwanted mic noise.
Now all I need is a waterproof microphone - Richard at Tripple Echo Productions, with whom I've worked on a number of Radio Four programmes, assures me he has one I can use. The sound quality of these in-ear headphones seems quite good and they come with a handy storage "float". They're advertised as being "Guaranteed Submersible" to 10m/33ft which I hope I never accidentally have to test.