I use a ziploc bag (the ones for putting stuff in and popping it into the freezer) on the other hand there are outdoor rugged types of cdplayer u can buy now (usually bright yellow) There is a cd player u can use in the shower though but it is a bit bulky. but i find the ziploc is just enough ....
but how do u get your headphone cable through the ziploc bag withough letting water in ? this guy is asking about swimming not walking in the rain remember !