The Treo behaves differently when stereo headphones or a headset are connected. That's because it automatically detects what's connected and assumes that a headset is only used for making a call. If you're using a headset with an answer/hang up button, you'll notice that when you press it in you're able to hear the music.
I believe you can get around this with software, but I haven't tried it myself.
Freedom
The other intended option is to 2.5mm stereo headphones, hybrid headset (headset and stereo headphones in one), or an adapter and standard 3.5mm headphones.