the sennheiser adidas OMX 680/PMX 680/MX 680 are supposed to be good for exercise, and they're supposed to sound decently good as well. from what i've read, the pmx 680 are supposed to fit very securely (probably *if* they fit you correctly, but all i've read about them regarding fit is very positive...granted i haven't read very much about them).
also lol @ ppl saying that nothing can touch the klipsch s4 at the sub-$100 price point; nowadays there are quite a few IEMs and earbuds that sound *very* good for under $100. nothing against the klipsch, i've read great things about them, but they're definitely not the end-all-be-all that these people are saying, and i really wouldn't recommend spending that kind of money on a headphone that wasn't meant for exercise, and then exercise with it, even if they are still under warranty. most headphones aren't designed to be sweat on all the time.
http://www.yurbuds.com/ybcart/earbud_enhancers?category_id=0
i bought those for use with my earbuds (yuin pk3/yuin pk1/final audio piano forte ii). you submit a picture with your earbud in your ear, then they use some proprietary software to analyze the photo and size your ear. then they send you whichever of the 6 sizes matches you closely. the idea is that they make earbuds fit more securely and prevent them from getting sweat in them. from my experience, they do those things wonderfully. additionally, like IEMs, they isolate the sound and channel it directly in your ear canal. however, they arent as invasive as IEMs, and thus are more comfortable, and still allow external sound in. worth it for $20, if you like earbuds. i use them even when i don't exercise.
in any case, you can find any info you would ever want on headphones, and more, at
www.head-fi.org