I'm using a Dianese one with shoulder straps and a sort of thick waist belt which holds it in place.
It feels safer to me than one that fits in your leathers as my jacket tends to move about a bit, the hole in the jacket isn't really big enough to fit a decent size one in, and the one I'm using goes below the line of the jacket to the base of your spine.
It's this 'ere model 'ere:
http://cgi.ebay.co.uk/ws/eBayISAPI.d...5491 289&rd=1 Like all safety gear, once you've used it riding doesn't feel safe without one.
Cheers,
Ali