In-Ear Headphones That Will Stay In While You're Out Mentions the Shure SE115 Sound Isolating Earphones. They come in a variety of shapes, so you can pick the perfect one for you and your ears.
• $7.50 DIY Custom Fit Earbuds Is for the techie DIY-er, but such a genius idea. This way you'll be certain your earbuds won't fly out.
What kind of headphones/earbuds do you wear while working out?
• Your Ears' Best Buddies: Earbuds The Klipsch Image S4i's are really great options when working out. They'll fit snuggly in your ear so you won't have to worry about annoying adjustment. They also come with volume control on the cord, so it makes it easier to maintain your music without getting too distracted.
• Re(al)view: NuForce NE-8 Earbuds Are another great options while working out. They wrap around the ear comfortably, so you won't have to worry about the bud falling out. They also seem somewhat noise canceling, so you won't be distracted by the disruptive sounds of the gym (or honking cars outside).