I just buy the shitty $5 ones from the grocery store since I burn through them every few weeks. I have seen these at a lot of race expos. Not sure how well they work. http://www.yurbuds.com/
http://av.jvc.com/product.jsp?modelId=MODL028680&pathId=162&page=1 I have had these for a few years now and they won't fall out, sound nice too for the price tag, which is ~$25.
my gf works for bose and gets a big discount. i have a pair of these, they are the most comfortable and best sounding in ear headphones i have ever tried. http://www.bose.com/controller?even...T&DTCLinkID=7467&perfsourceid=k9677&src=k9677
I've never had very good luck running with headphones, but I like matt, go for the cheapies. I seemed to have the best luck with this style, some $8 Sony junk:
anything that has foam ear buds that you can squeeze and push into your ear like 'ear plugs' i know the shure lineup has them, and many other off the wall expensive IED headphones. best idea would be goto head-fi.org and look around. i cant wear any in the ear headphones without sitting still, or else they'll fall out or extract from the ear hole and i'll lost bass and sound. i think some skullcandy earphones offer the foamie swappables, check out target they usually have a good line of headphones with swappable tips.
Foam buds irritate my ears for some reason, even have a hard time wearing ear plugs for much longer than 5-10 minutes. Hrm, I may have to try these out. If they're really sweat-proof $30 is totally reasonable.
I've never been able to use earbuds while moving, they always fall out. I run / skateboard with "sport" earphones and they always work perfectly, comfortable and never bother me. Mine are Sony but look like these, were around $20: