For ultra portability, there are probably very few headset designs that can beat the Sony Walkman W260.
Upon first glance at the Sony Walkman W260, most would probably assume that it's just a pair of wireless Bluetooth headphones. The truth is that this neck-bound style headset is actually an MP3 player as well. It's water-resistant, light and the clips should fasten around your ears securely, which is always a plus for those who like to listen to music and work out. The W260 syncs with iTunes and the PlayStation 3; it can also load up tunes just by dragging and dropping MP3s into the folder. It also has the Zappin song-searching function, which lets you preview each song as you look for that one tune to settle to.