I have a pair of Isport Monster headphones. The sound is fantastic but i find at the start of a run they stay put but after a while of sweating i have to keep pushing them back in my ears. And i also find the volume switch on the left ear lead keeps getting caught on whatever i'm wearing and the left ear piece keeps falling out which tends to get on my nerves.
Also have a pair of Phillips Nike Aero sports headphones. The sound quality isn't great but they sit snugly over the ears and i rarely have to adjust them during a run.