Trying to get music in my ears while swimming never really crossed my mind.  But apparently their is a (limited) market for this type of thing.  This all-in-one MP3 player by Ubana, named the uCan has the 1GB MP3 player and earphones integrated into one unit.  In looking around a bit I found these other devices to bring music under the water - waterproof iPod case, waterproof earphones, and other brands of MP3 Players.