I've used Sony Walkman headphones that offer Bluetooth connectivity but also let you store music directly in the built-in memory so you can run without your phone. They are waterproof, you can even use them while swimming.

I've used and recommend headphones like the Sony Sports Walkman headphones that offer Bluetooth connectivity but also let you store music directly in the built-in memory (up to 4GB) so you can run without your phone and still have plenty of music. They sound great and are waterproof, you can even use them while swimming, so they lend themselves well to running. Battery life is about 8 hours.