Jaybird Sportsband headphones are good, but pricey (about £100). They stay in place, nice sound quality, and they don't blank out the sound around you. But, best to wear your MP3/phone on an armband. If it's in a pocket and your body is significantly in the way of the signal in will cause interference. No getting around that with any bluetooth device I'm afraid.
http://www.advancedheadphones.co.uk/
sometimes do deals on these and occasionally have an "open box" return item at reduced price if you keep your eye out - how I got mine.
Edited: 01/04/2012 at 00:29