Your headphones will vary depending on your workout.
Your workout headphones should be comfortable, but also practical for the type of exercises you are doing. For example, if you want to listen to music in the pool, make sure to have waterproof headphones. Do not use big, clunky noise canceling headphones for your workouts; you can find small ear buds that will not get in your way while you're running or lifting weights.
Running
If you are an outdoor runner, purchase a set of headphones that wrap around the back of your head and also have a reflector on them. The reflector gives you extra protection if you happen to be running at night. Also, these headphones tend to stay out of the way fairly well. Make sure they fit to your head so they don't jostle about while during your run, as this can be annoying, especially if you are running for a long period of time.
Lifting Weights
If you work out in the gym, get headphones with noise canceling ear buds. These are rubber buds that fit into your ear and expand, canceling the majority of outside noise that you will hear. The important thing with ear buds is to make sure they fit in your ear; if they fall or slip out, it can become annoying very quickly.
Swimming
If you are a swimmer, you can listen to your music in the water by using waterproof headphones. Make sure the cords are attached so that they do not get caught up or in your way; wrapping them behind your head is one of the better ways to ensure this. After your workout, make sure to rinse and dry the headphones thoroughly to keep bacteria from forming.
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