what headphones work for sports and activities?

I have been walking and have noticed that I typically sweat and moisten my Grados. Are there any other headphones out there that are easier to use under this condition? Maybe the smaller style that locates in you ear? Any suggestions? What sounds best in your opinion?
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.
I've got the Etymotic ER-4P which are great for isolating outside noise. The downside is the cord is very microphonic, you'll hear it rubbing against your clothing when you move. Not sure I would recommend them for what you want to use them for.
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.

Regards, Rich