I have some crap, £14 JVC in-ear jobbies that do the trick. They are a bit fiddly to get to stay in after putting on a helmet, but once settled, they are great. I can still hear noise around the bike even with music on (below about 50mph).
i suspect i have the same ones. jvc "mashmasllow" headphones. cost $20, sound better than sets three times the cost, and not a big loss when you put the cord through the zipper. id agree with doorag; they cancel enought noise to hear music but you can still hear whats going on around you.