I have both the Peltor Worktunes (built-in AM/FM radio) and the Pro Ears Dimension 2 which require a separate radio to be connected to them via a supplied cable. If I had to pick just one of the headsets, I'd go with the Pro Ears. While it's a little more inconvenient to have to use a separate radio, I like being able to hear things around me.
Just today I saw a lawn care guy using a gas powered blower on the berm of a 45 mph, 2 lane highway. He was wearing a pair of Peltor Worktunes and he was oblivious to the vehicles only inches away from him. By the time I reached him, I actually had to go a little over the center line to be on the safe side. With the Pro Ears he still could have heard the traffic behind him.