I found it pretty unbearable to not listen to anything during workouts. I have a pretty good system that I use for different workouts.
When biking outside, I use on-ear headsets (I like the Sennheiser ones; they fold up) because due to air friction it’s hard to hear the in-ear ones. Careful, though, in some states it’s illegal to wear headsets while biking, and you should overall exercise caution and common sense (I, for example, only listen to audiobooks or NPR when I bike; I can still hear the traffic very well).
If I’m running outside, I usually take in-ear headphones.
If I’m working out indoors (either running or doing weights) I like to use the wireless headset, that has Bluetooth support (I use a Motorola S-9). The behind-the ears headsets are good but you have to be careful when you run so the don’t fall out- I usually wear a headband to stabilize the headset.
Regardless of what I’m doing, I like to listen to audiobooks or NPR. iTunes has a great selection of NPR/PRI podcasts (I also like Stuff You Should Know and some Stanford iTunes U stuff). Librivox is my destination for audiobooks but pretty soon I will want to switch to a paid service that has more modern books (I found the 19th Century repertoire to be somewhat boring, especially when I have to run in place for a long time).
If I’m wearing a backpack (which I tend to avoid if I don’t have to use it) or if I have big pockets, I take my iPhone; otherwise I put a small mp3 player like the lovely Samsung T10 in an inner pocket of my pants (all running pants have it). The nice thing about both players is that they support Stereo Bluetooth.