I also use the walkman style earbuds,as they are very small and easy to carry.It's harder to hide the scanner than it is the earphones\headset.
One other solution I use is a wireless FM transmitter.I can leave the scanner in the house,or in the car,and use a small cheap ($2.00 at the dollar store) FM radio.It is the small,runs on 1 AAA battery (18 hours),and does a good job picking up the transmitter for about a 1000 ft.While it probably won't work inside a mall or real long distances,it does work good inside a house.I can go to a party,or dinner at someones house,and listen to the scanner without carrying it around.
It is also nice if I take the kids out for a walk in the neighborhood,as I don't have to drag the scanner with me.I also use it at the scene,again so I don't have to lug the scanner around either.
You can also listen to two scanners at once this way.You'll need an adapter (two 1/8" mono males to one 1/8" stereo female),and this will run the 2 audio sources through the L and R stereo channels on the FM transmitter,so you get a different source in each ear.
This is also a great setup for listening in the car,as you can just tune your radio to the FM frequency,and it plays through the factory speakers with no other connections.