I've been using these for about a year. They clip around your ear (not tight) so they don't fall out and they work in the rain. I've got them absolutely drenched without any problems.
http://www.currys.co.uk/martprd/store/cur_page.jsp?BV_SessionID=@@@@0455822135.1093793729@@@@&BV_EngineID=cceeadcmgdefllgcflgceggdhhmdgmh.0&page=Product&sku=925610&category_oid=-20374&fm=4&sm=8&tm=0
If only I could do links.