For me listening to music while running helps to take mind off things and focus on breathing, rhythm as well as form, it is almost like a meditation - I clear my head from daily hassle and focus on the run itself.
On a beginning I've tried to run with apple headphones, these which come with the iPhone itself, but I quickly learned how inconvenient it is: the wire was always in the way, phones were slipping out the ears, and so on. So I started looking for some wireless options.
Most of sport oriented headphones are rather on high end of the price and somehow all these I tried so far didn't have long life span (all though some of them came with nice warranty and replacement options which I was happy to use). But I did try few models.
And if you are wondering whatever to go with Jaybird X2 Sport as headphones for running and if trial and error is not a suitable strategy for you when it comes to finding a perfect headphones match, see the pro's and con's listed below.