The Sennheiser MX65 is pretty decent. It has an extra "plug" that goes into the notch above the ear canal that keeps it tight in your ear. No falling out and a better seal. $50.
http://www.sennheiserusa.com/private_headphones_earbuds-and-ear-canal-headphones_classic-series_502548
http://www.sennheiserusa.com/private_headphones_earbuds-and-ear-canal-headphones_classic-series_502548