this is what I use in the gym when I work out. I use the extension and have it go around my back inside my shirt.
http://www.amazon.com/Audio-Technica...chnica+earbuds
I think any variant of in-ear should work.
I have also used this cheap one that has a wire that you can bend around your ear.
http://www.amazon.com/MEElectronics-...+meelectronics
and if you want to refine the fitting, buy one of these tips.
http://www.amazon.com/s/ref=nb_sb_ss...%20foam%20tips