Outer-shell music buttons like in iOS
If your built-in music app and lock screen doesn't do this currently, then you can try using WinAmp as your player, that was the first music app I saw that added the transport controls to your lock screen.

Go into WinAmp's settings to find this option:



Then it should look a bit like this when your phone is locked:



These days most music apps include this feature (I believe including Google Music or Amazon MP3 if you're in the US), try searching the Market for something like lock screen music control to see a selection.

This feature either needs to be built into which ever app you're using to play your music (as above) or you need to switch to using a different lock screen that supports widgets, such as WidgetLocker and then you can choose from available music control add-ons like Media Buttons or Phantom Music Control.