Japanese Rakuten offers the MAKROLON Apple iPod shuffle plastic case with integrated cable organizer to deal with the headset cable.

This just shows me that we really need to get to wireless ear buds soon. The headset cables either destroy the look of tiny wearable mp3 players or they just always have a knot in them when taking them out of the pocket.
Bluetooth audio headsets are either still too big or the sound quality is not there yet. Until then cable organizers seem to be the only way to deal with the damn cables.
More details on Akihabara and Rakuten (Japanese).
See also the iPod shuffle car FM transmitter.