I have a number of running shirts with little pockets - eddie bauer, sugoi, champion C9 (pocket in the sleeve) but my complaint about most running shirts with pockets is that the pockets don't zip. And I've lost keys while running...which really, really sucks. I also like the brooks shorts with the little outer side pockets (they velcro) - I think they're the synergy model.

Or...another option are the little wristbands with a pocket inside them. I kind of like those to wipe my face with.