So I'll contribute to this thread as this is an issue i had for a long time. I find that ear-buds with some sort of ear clip work best for me.
I started out with Monster iSport:
The sound quality was excellent but after about 4 months of usage the rubber base of the clip started to tear. You can only glue it so many times..... The issue it that the clips are too rigid and this eventually causes the rubber base to eventually start to rip with use.
I moved on to the Bose SIE2i:
They don't have the isolation but the bass is still great. The clip is soft and attaches in two places. Very comfortable and stay just as well at the Monsters. Also a little more comfortable as they don't sit so tight in your ear canal.