Look for thicker-than-normal cords with the leader wire centered between the two headphones. They should have earpieces that fit over most of the surface of the ear to keep out wind, they should be about the size of a 50-cent piece or slightly larger. There are two types that work best. One type has a springy band that fits around the back of the neck, joining both earpieces together. The other type has individual speakers, with a small, ergonomic, form-fitted padded clip that fits over the top of your ear.
Avoid buying earbud-type headphones. Earbuds don't stay in your ears when you get sweaty, sound terrible and are even dangerous because you have to keep stuffing them back in your ears while you are flying down the highway. Don't spend less than $10 for any pair of headphones either, since they crackle, the cords break and they whistle when wind blows across them.
Where To Buy
It's fine to buy your headphones at Wal-Mart, Kmart or any of the "marts"--even RadioShack is good. Don't buy them at a bike shop; you will pay double for them there, if they have them at all. Just look for brand names like Sony, Koss, Phillips or any recognizable brand name. Look for brand names that have lifetime guarantees; even though they won't actually last that long, you will get your money's worth.
As of 2010, a pair of lifetime-guaranteed headphones costs about $15 to $20. Some high-fidelity headphones run up to $25 to $50, but these may actually be counterproductive. When you spend that much, you get into noise-canceling headphones that block out traffic noise; you need to be able to hear traffic approaching from behind.
The "top of the head" headphones may be a bit cheaper, but these are a pain in the neck because they interfere with your helmet. Your helmet has to fit over the steel wire and that presses the wire into the top of your head. The behind-the-neck headphones are the most stable, but be aware of the fact that a small wire will be resting on the nape of your neck all day when you are riding. With individual "over the ear" type, if you are wearing glasses of any kind, the two earpieces will be competing for the same space between your ear and your scalp.
The single best accessory for cycling is a cell phone with a built-in radio. This device will actually shut off the music that you are listening to and ring the phone through the headphones as you are riding. All you have to do is touch the phone and begin talking; the phone will pick up your conversation through your jersey, and you can hear the person on the other end through your headphones. When you end your conversation, the radio comes back on and you haven't even stopped your bike. Another handy accessory is a do-rag. Tie this pirate-looking headgear around your head, securing the headphones to your head. Then put on the helmet, positioning the speakers of the headphones through the triangle in the helmet strap.
Put your headphones on first, then connect the headphones to the radio or phone. Drop the phone or radio down your back, inside your jersey. When the phone, radio or I-pod drops out the bottom of your jersey, pull the slack from the cord and drop it in one of your jersey's back pockets. Before buying, check to make sure the cord is long enough to accomplish this. When you are done riding, coil up your headphones and tuck them inside your helmet. Some headpieces are foam-covered and some have a soft, smooth plastic. The foam won't last; get the ones with the smooth rubber coating.