Hey Piros, my wife and I have got these waterproofed shuffles, I didn't bother with the waterproof headphones, just use cheapies they survive quite a few dunkings. But my wife swims in hers, she's been using it for years, no probs and she ain't gentle on gear! Fantastic just having the tiny shuffle and no case. The local guy is really good to deal with, highly recommend.
http://www.swimman.com.au/shop/product/1gb-silver-waterproof-ipod-swimman-headset-apple-headset/