I would clip it to my goggle strap and swim about an hour a day 3 days a week back when I lived by a pool. The ipod shuffle really was an amazing form factor for the player as it had the clip built in which could clip to the straps.

The headphones were always a different story. You need specially made earbuds which a) use a waterproof membrane instead of a mesh for the speaker and b)fit tight enough in your ear so water wouldn't get in and fill the air chamber in front of the speaker. It took me 3 tries to find headphones that would stay in and be airtight.