Koss SportClip KSC75 Earphone (KSC75 07)
They don't look the best on your head but I was in need of a set of headphones that would stay in place when I ran.  These are not going anywhere so I never have to fiddle with them while I'm running.  A bonus is the sound is excellent.  I'm no audiophile but I did a comparison with the stock I near headphones that came with my phone and the difference is considerable.