I don’t really do sunbathing (makes me too hot) or extreme watersports like @alison, but I do do biking, with a tendency to fall off. I was worried about breaking the pump by landing very heavily on it and the hard cases produced by Roche (mine is an Accuchek Spirit btw) don’t look sturdy enough. So I bought (for £4.99 in the sale, should have been £10) a hard belt-mounted camera case. Its padded inside, got elastics inside to hold the camera/pump in place, and the zips zip to the bottom, so I can hold the pump upside down and run the tube out the base (which I prefer to do, to reduce bubble problems!).
And I can confirm that, even after having been landed on quite heavily a couple of times over the summer, neither the case nor the pump have suffered at all. Best 5 pounds I spent in the recent past, I think!
But the point is, you dont have to fork out loads of money to get a case to suit you – be inventive!