Zune "Premium Earbuds" (they're pretty good) ship with a cloth sleeve which protects and stiffens the cabling. It looks nice and is functional. However, when the cloth rubs against the zipper of your jacket, the vibration is transmitted along the cable to your ears. I read this suggestion on a Zune mailing list and although I do not recommend getting your ears ripped off, with a little care you can avoid peril and lose the noise.

"... [the] Secondary benefit to cord wrapped behind ear is that when you are working out the earbud doesn't fall out as easily. [of] Course then if you catch the cord on something you rip your entire ear off instead of just yanking the buds out, but to lose the rubbing sound transmission it is worth it."