I was looking for a waterproof case for my Zune and found this. Completely waterproof with headphone jack $40. They also have cases for other electronics.
http://www.aquapac.net/usstore/erol.html
(http://www.pmptoday.com/wp-content/uploads/2007/08/aquapac.jpg)
if you have an ipod check out
http://h2oaudio.com/index.php
these things are like indestructible
plus i work for a kitesurf shop that sells em for pretty cheap. islandsurf-sail.com