If would either recommend the SoundMagic E11 or the the Brainwavz M1's (although if you're not on a budget then go for the M3's!)
Here is for why:
The PL30's are good, but if you want IEM's (In ear monitors - so pretty much what you're after - in ears ones) that will stay in your ear whilst still being comfortable then i'd go for teh E11's. They have earhooks that you use to hook over your ears and therefor do not have to reply on the actual eartip staying in. I don't own a pair but I've tried them and the hooks are pretty comfortable and really hold the the eaphones in your ear , enabling you to jump,run, dance and flip around without them falling out.
Sound quality wise, they're pretty balanced so no crazy pumping bass or screechy treble (high frequency).
Alternatively, I would go for the M1's - they don't have any earhooks (although I think they might actually come with attachable ones if you get them from the source - mp4nation.net) but they are also IEM's and are real conformable with great sound isolation - so no interfering noise from your surroundings! They're also have a balanced sound and are probably of an overall higher quality than the SoundMagics.
Although these are both recommended with the assumption that you're not listening to crazy heavy bass music - you should also make sure you choose a pair depending on what you listen to - bass heavy earphones are for, well...bass and vice versa.