How about a pair of headphones that have a little microphone and blutooth built in. They operate like a normal pair of headphones, but if your friend is walking beside you they can tune their bluetooth in to your headphones which will broadcast their music to your headphones. The microphone means that you can talk to each other too.

Because it's blue tooth you and your friend can be out of normal talking earshot (i.e. in a busy city street) but still be able to talk and hear each other.

There are additional add-ons like both having a remote control to the walkman so you can both control the music or being able to open up the bluetooth connection so you can talk to other people with headphones - or just listen to their music etc etc