Sleeping with headphones, particularly IEMs, would be more common then you think. Lately people have been dozing off with the Q-Jays since they are so small and nearly disappear in your ears. While it may not be the safest thing, considering possibilities of a midnight strangulation, there are some low-fi but safer alternatives.
We have reported on previous sound pillows, but they were merely decorative (and ugly). The Sound Asleep pillow is actually a standard pillow which you can throw your own pillow cases on blending it in nicely with your bed set. Teamed with an MP3 player containing a sleep feature- you have a pretty nice bed time set up.
The Sound Asleep pillow is only selling in the UK at the moment for £20, but we will keep our eyes out for a US release.