I have fairly decent headphones (Sennheiser HD 455s) and they have a 3 meter long cable. This is great if you're sitting around at home, not moving about, but I go all over the place and having a huge cable just shoved into my pocket (inevitably catching on something) was a total pain. So I looked around the apartment for something to keep them contained, and that's how I came up with my Coin Roll Cable Holder Thing
Step 1: Enter the draggin' (cable)
First, identify the end of the coin roller that has the curled-in edge. Pull the headphone plug through that end of the coin roller and out the flat end. This helps keep the cable in tightly and won't let anything slide out by accident.
Step 2: Get it out, get it all out, yeah, stretch that thing
Put your headphones on and let enough cable pass through the coin roller so the roller is level with the base of your pocket. Now, pull another 6 inches or so through, this will allow for movement, but still be tight to your body. (Sorry about the image, I didn't even think about rotating it. You get the idea.)
Step 3: Folding@Home
When you've found a comfortable place for the roll (with enough play on the cable to let it float around a bit), begin loosely folding up the cable that isn't between your head and your pocket - that is, everything you don't need to use. Fold it over and over loosely - cables don't like it tight - and make the folds about the length of the coin roll, if not just a bit longer. Don't bend the cable sideways or any direction that's not natural to them. Stop folding when you've got about 6-8 inches left. I gave it enough to wrap around an iPod once...not that I do that, then there'd be no point to this. It just has a fair amount of excess cable to float around without it being tugged out, and you can pull out your player and still have the cable holder in your pocket. I'm all about convenience here, folks.