Finding a set of headphones that remain in place comfortably while running has been a challenge. I have tried many models, including standard Ipod ear buds, over the head headbands, behind the neck bands, Sony ear buds, and Phillips ear buds. The Phillips ear buds (model # SHE5920/27 have provided superior usability while running. The sound is not nearly as crisp and clear as the Ipod earbuds, but this is not my main criteria. The earbuds stay in place while running. I have used this for over a year with no problems. They achieve their high usability level through rubber ear tubes. These tubes hug the inside of the ear while gently expanding for a smooth and steady fit. My first pair quit working after about a year of everyday use. You cannot expect much more out of a $15 pair of headphones. The new model now comes with an extra set of rubber ear tubes and a neat cloth carrying case. This case is much better than the standard plastic roll-up case that most earbuds include. I can fit my earbuds and a 2nd generation ipod nano in the case.
I highly recommend the Phillips Surround Sound Headphones for runners. I bought mine at Walmart for under $15.00.