Nothing to stop you putting up a mike (a cheap lavalier works well) to add back in the audience and band-mates, and even better a switch or footswitch (one of those cough-drop things in reverse?) so you can cut it off when you want to, but I know what you are talking about...

Another option is to go for the little over the ears type headphones http://tinyurl.com/5s3sv7 or http://tinyurl.com/ojph2l if hair would hide it, which allow the outside to still be heard...