There are also some multi-effect pedals that include aux-in and headphone-out options. The Ampeg SCR-DI comes to mind, for instance. Pretty sure the Zoom B3 does
I have a B3. It does not have aux in or headphone-out. It does have USB audio, so you can plug your laptop into it, plug your headphones into your laptop, and play music on your laptop.
In fact, a USB audio interface can be another solution, especially if a computer is your usual source for music to play along with.
I bought an amplug and was turned off by the noise--my memory is that it had a hiss that was pretty audible unless the tone's turned down a lot.
