Hi Will,
You'd probably be happy with something like a Serengeti LX-500 Digital Pocket AM/FM Stereo Receiver. It's a nifty little electronic device that's about the size of a deck of cards. Radio reception is very good, although you might want to swap the "earbuds" it comes with and get a pair of headphones that fit over your head. These will have better stability. Or, wear a sweatband that can go over your ears and hold the buds in place.
There are other choices. Nordilla, for instance, makes several radios that fit right on your head. One style, the YT7-H5 Street Style Sports Headset ($50), fits like regular stereo headphones. Stylo’s SRF-UT899 actually fits on like a headband—with nothing to loop over your skull or stick in your pocket. It's about $60. Paradonix makes a radio called the RF-NB199 ShockWave Headphone Radio ($50), which is designed to be carried in your hand, on a lanyard around your neck, or in a pocket.
Of course, I really don't advocate wearing any such thing. Maybe you're running someplace where traffic isn't an issue—on the beach or somewhere like that. But, if you're in an urban setting, I think blocking out the sound around you is a safety hazard. I'll assume you're safe and watchful, but it's still something to consider. 
