swiMP3 is the one that vibrates, and yes it is supposed to be one of the best. It is just kinda pricey and it doesn't work out of the water.
http://www.finisinc.com/P-130030/Swimp3.1G
This company looks like they make decent cases+headphones for swimming with. From them you are looking around $100 still though but they work in and out of the water. Right now they do have headphones with a free ipod shuffle case and with a 25% off coupon it is only $45 - but shipping to Canada kills it.
https://www.h2oaudio.com/
My boyfriend thinks I am nuts for trying to swim with my ipod. But I did find some "fake" ipod shuffles and I wonder if they would fit in one of those cases, that way if I killed it I am only out like $10...