If you want to splurge on something, go for the Oakley Thump PM3 sunglasses. They look like something out of a Mission Impossible movie, sunglasses with headphones. A digital sound processor, an equalizer, MP3, WMA, and WAV file compatibility plus a 6-hour battery, USB 2.0, and frame-mounted volume and track- control buttons--in this flash-memory MP3 player/sunglasses.128MB, $395; 256MB, $495.
www.oakley.com
I bought a pair for myself for getting a raise and I couldn't be happier. Pretty decent sound quality, good battery life, and decent memory makes this worth the outrageous price.
Other then that, I'd say just buy whatever sunglasses you like.