If you buy decent headphones they should come with a break half way down the cable. This means if you have a tiny mp3 player, and you can attach it within 50 cm of your ears, you can get away with half the cabling.

Here's a few places I've clipped my shuffle in order to manage this:

1. On a necklace under a T-shirt
2. Inside a rolled-up sleeve
3. In a top or inner pocket
4. On my collar (NB: This made me look like an idiot, but that was fine as I was cycling)
5. On the headphones themselves, if you have big over-ear ones (NB: This also makes me look like an idiot - irrespective of circumstance, but it really works.)