I know everyone thinks they can't do ear buds, but I really, really recommend these:
The Plug The ear bud part is made of foam, so you squish it, shove it in your ear and then the foam expands and stays put. They never, ever, ever fall out and they're not uncomfortable. I've been using them for years and years now. Koss has a reasonable replacement policy (send them $6 and the old pair and they send you a new pair in less than 2 weeks), so I just keep sending them in. (Actually, I have 2 pairs: one to use and then another in reserve for when the first pair craps out. But I use my mp3 player pretty much constantly, so the ear buds get lots of use.)