I've seen gaming headsets that mix two audio sources (is yours the PS3 headset?), but I haven't found wireless earbuds available that do that (thinking more about it, it seems my problems are only with wireless earbuds (I've had sets from two manufacturers)). I will also note that this is really the only device that I ever really connect to multiple devices--I would be willing to bet that the "pretentious ear-pieces" also have the same problem, though).
And don't get me wrong, BT generally "just works" and I do love it and this is only a small hiccup, but my problems are when I have a bluetooth device (okay, my headphones) and am working near multiple other devices that have all been paired together in the past. I have to carefully turn on devices or the BT radios in the order that I need them to connect or otherwise it is seemingly random which audio source will be sent to my headphones (probably has to do with polling intervals). This can range from annoying, where I have to turn off bluetooth on several laptops, so that my phone will pair instead, to problematic, where I have been forced to to "forget" devices just to get them to work with another device (e.g. in my car where I cannot easily turn off the BT radio).
I think my problem would be solved with a "soft-pair" option where I did not need to re-make my device discoverable, re-search for devices, re-authenticate a password, but instead just give me a simple prompt asking for confirmation before re-connecting to a device.