There is nothing more frustrating than in-ear headphones that keep sliding or slipping out of your ears. Design-wise, these little ear pieces are made to stay in your ear, but finding a pair that actually does this consistently day in day out is a challenge.
The Sony MDR-EX500SL and EX700SL will fit snugly into your ear. They are made to stay inside. They come with a leather carrying pouch. From the Japanese translation, it seems that the top of the line model has some noise-canceling features included by using multiple layer diaphragms made from high polymer materials which reduce the vibrations while maintaining high sound quality. The 500SLs are available for about $90 and the 700SL will cost you about $319.That's quite a steep price to pay for in-ear headphones with no active noise-canceling capabilities.