One of the most frustrating things about running while listening to music is that it is hard to keep earphones in place. I've gone through my fair share of earphones/buds and I don't know if it is my ear hole size or what, but nothing seems to stay put once I get a little sweaty.
Recently I discovered ZEN Aurvana In-Ear Earphones ($99, comes with 6 sets of contoured, silicon earbuds, travel case, airlines adapter, etc) and they seem to solve my earbuds-wont-stay-put problem quite nicely. The part that sold me originally was that the earbuds come with three different sizes (2 sets of each) of the rubber tips so that you can really get a snug fit. Furthermore, while I am no audio guru, they sound really, really great -- The snug fit allows for great noise reduction. Buy them directly from Creative.com. What's better? If you lose all your rubber tips, which you will, you can just buy more of the tips only instead of having to get a whole new pair of earphones.