There are two "AirMusic" apps, one is free and the other is $2.99. I downloaded both of them, but from what I can tell, only the free version sets up as an Airplay receiver. The paid version is supposed to play music to PS3 and other consoles (I haven't tested it). I was hoping it was the same as the free version, but without the annoying ads, but I guess they don't have that available at this time. (I still need to research a bit more to say for sure).
As I mentioned above, this app allows an iPhone to be setup as an Airplay receiver for Macs, AppleTVs, iPhones, and I believe other iOS devices. This allows you to send audio from one device to another. For example, you can start a program on your AppleTV, hold down the center button on the remote, and choose "AirMusic Player" as the speaker. Below is a screen shot of the iPhone receiving a audio signal from the new Apple Event from the AppleTV. If you plugged a pair of headphones into the iPhone, you could use it in a way similar to the Roku players that have a headphone receiver in the remote.
However, Apple did allow people that paid for the app to roll it back to retain the feature. A lot of people wanted this feature and it was no longer available. Of course, this is a free app, so Apple could just remove it from our devices, but I think it is worth downloading now just in case they get rid of the app, but allow people that already have it to keep it.
As I mentioned, I just learned about the app and haven't used it, other than testing it, but it fills a roll that many people need.