If you've got the bucks, Etymotics ER4S from Headroom, I guess (best price last time I checked). Great sound, blocks out noise, so far never a single discontinuity. One driver failed (broke) and they sent me a replacement free. When I bought them people recommended getting a headphone amplifier, so I did, but I found I didn't need it and never have with any of the portable music players I've used them with. I had maybe 20 pairs of portable headphones before I got my Etymotics, but have never used any of them since 1999, and I gave almost all of them to charity. Used to get annoying discontinuities all the time and have to break out my soldering iron.
Edit: These stay in. That's never an issue. The only issue I can think of is the fact that the cord tapping on something (e.g. your shirt, etc.) causes extraneous sound, so you do things to prevent that. They come with a clip that you attach to your shirt, etc.