I really like the newer Sony S2 Sports verticle in-the-ear headphones. They have a 16mm speaker, which is more than most, and they have incredible bass for tiny headphones (at least it's better than the last two generations of Sony Sports headphones I had). It seems like the earpiece is a little bigger than most, but it's shaped better. My GF has very small ears and says they fit better than any of the other ones she's tried (actually she stole them for the week and I've had to go back to my old ones).
Best Buy has them and they're $15.99 for the regular ones and $19.99 for the folding ones. The folding ones seem more comfortable to me, but then I've got a pretty big head.
I just like the vertical in-the-ear ones because they let air in around them and you can hear stuff around you fine, they're really light (like earbuds), they're plenty loud without letting everybody hear your music (like earbuds), but they're not dangling off your ears and don't have to be wedged in there like the earbuds. I guess that's just me, though, because they don't seem to have caught on too well. There's like one person at my gym with the same headphones as me, but other than that I never see them.