I have tried several different brands, all earbud style:
Sennheiser OMX-70 -- these do not fit my ear. The neck from the speaker to the outside piece is short and thick and so the headphones constantly pop out. I bought a podfitkit, which creates a mold around them to hold them in. It helps, but its difficult to get them in my ear with the mold. Plus, they are bright green, not my favorite color.
Shure e2c -- these are great sounding headphones, but I had trouble keeping them in after I started sweating. Plus, the cord is heavy, so you really need to use a clip with them.
Skullcandy smokin' ear buds -- these sound the best (to me, even better than the Shure e2c's). Lot's of bass without sacrificing quality for the higher frequencies. Very light, but are in canal models and thus can be difficult to keep in when sweating. Also, I don't like the cord. It is shorter for one ear. I prefer an even length cord. There is a merchant on EBay that sells them with Etymotic ear inserts. Have read other reviews that say this improves the sound quality and how well they stay in your ear.
Philips MP3-CD with flexible ear hook -- these don't have the best sound, but they stay in my ear better than any others. Indoors, the sound quality is pretty good. But, they are designed with a bass port which creates a lot of wind noise when running outside. Have never had one fall out. Probably my favorite for use while running, but not otherwise. Walgreen's has them for less than $10.