Just found at gizmag: a shoe with build-in mp3-player. Looks like Lavetta Willis has a lot of good arguments at her side:

"I love to work out to music but also wanted to be hands free and wireless. When hiking or running, I want to reach for a water or cell phone without the complications of an mp3 player strapped to my body, never mind the wires always getting in the way."

Ok - you'll have to connect the shoe to your computer... Better before sport, you know?