Can't compare to others, but the Etymotics 6s sound just fine when I'm in the gym and they provide about 15 dB of isolation as well.
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I have never cared much for the type of headphones that fit inside your ear. For exercise walking or stationary bike/treadmill use try either:
1. Sennheiser PX 100 ($40 USD) ... a foldable, conventional open air design or
2. Koss KSC 50 ($20 USD) ... a sport clip-on design.
Both headphones are very comfortable and pretty nice sounding for sports use.