Yeah, picked up a 2.5 -> 3.5 mm adapter at radio shack so I can use cell phone headsets. The adapter itself sticks out a fair bit from the zaurus, so it's not ideal, but it works. Also did see one 3.5mm set on ebay, but with big and bulky earphones, not so convenient for carrying around.
Alban: yes, you get either mono out + mic in, or stereo out, depending on what type of device you plug in to the jack (the z can tell).