I'm currently looking for new earphones as my Klipsch ones finally gave out on me last week. Until I get some (Christmas is coming, after all), I decided to rummage around in my 'retired headphones' box (everyone's got one, no?) and found this:
Back when I was using my second generation iPod nano, I needed something that combined the usefulness of the lanyard attachment but with good quality headphones. As I couldn't find anything, I got a pair of Sennheiser CX300s, an old USB connector cable and a metre of red ribbon and made my own. Once the USB end was cut off, I looped it round and glued it ends together then wrapped the join in plumbers' PTFE tape to seal it. The headphones were wired round, fastened with cable ties and then sewn together with the ribbon to make the neck bit comfortable. The iPod connector has two little clips in it which was plenty to hold the lightweight iPod Nano in place under my t-shirt and on that model, the headphone jack was on the bottom so the whole thing clipped together nicely.
The sound quality was as good as you'd expect from Sennheisers and I actually surprised myself with the build quality when I had to, yesterday, dismantle them after almost 4 years. Unfortunately, the iPhone 4 is a little bit too chunky to wear under a t-shirt. I got some odd looks when I tried.