Thanks for the advice! It's good to hear the Sennheiser headphones stay on your head when you're running.
I'm not sure that ear bud style headphones can been that good for sound quality compared with decent pair of ear canal headphones. I've tried a friend's pair of Ultimate Ears Super.fi 5 Pro's in ear sound isolating headphones and they sound incredible compared with the cheaper Sennheiser earphones, e.g. CX300, CX500, etc. I guess they do cost at least double that of a pair of CX500's though!
I've been looking at these Sennheiser headphones for sport that seem designed for running and active sports. Does anyone have any experience with them? Do they stay in your ear OK?
Alternatively I've been looking at pair of regular in ear headphones. Although I'm a bit worried that they are going to isolate me from external noises too much and I won't hear cars, bikes, etc. I run on the street on the way to the park.