I recall having to buy it separately. I was pretty annoyed about that as a day one adopter. Here's what the packaging looked like:
A standard headphone jack, at least. But it did come with (or maybe they were just available at the time) a set of headphones that plugged into one of the jacks there.
I didn't realize the SP didn't have a microphone jack. Luckily Nintendo learned from their mistake since they had a headphone jack on the,