If you can live with JUST headphones, the IK Stealthplug is pretty cool. It's how I practice most of the time. The music is on my computer (in iTunes).
Seriously - thought it might be a few pennies over - the Fender B-DEC. Great tool for practicing; has built in drum machine, tuner, a selection of midi-tunes (that come with tab & sheet music). Great fun.
It sounds really good for how tiny it is. It has effects, lots of styles to play along with, a tuner and it runs on batteries. It makes practicing fun!