Are you fed up with swimming up and down endlessly whilst training for a triathlon or other swimming event? You might benefit from a waterproof MP3 player. It will allow you to listen to your favorite band or audiobook while you potter up and down the pool. You could listen to Radiohead, buddhist chanting music or Steve Jobs' autobiography, it's up to you
It's important to make sure you buy a good waterproof MP3 player. Cheap and poor build quality ones are often not waterproof, have poor sound quality and break easily. They work by having seals covering the buttons and sockets so water can't get in.
If you sweat heavily when you run or jog you should definitely consider a waterproof MP3 player. Otherwise waterproof headphones would be useful because perspiration can definitely damage your audio equipment. Running in the rain can also cause the same problem.
This page has some useful information helping you know what to look out for and suggesting a few good players. Some of them are definitely better than others; look at the customer ratings to separate the wheat from the chaff.