The Audio-Technica SonicSport ATH-CKP2ooiS In-Ear Headphones are a budget option from a company that also makes a lot of high-end and pro audio gear. Budget doesn't really mean cheap: although they make a couple of truly inexpensive models, these designed-for-iPhone $44.95 list-price sport headphones offer good quality for less than $50. There's also a version (ATH-CKP200) for $39.95 that doesn't include an iDevice controller on the cord.
The SonicSports feature a hinged over-ear hook that should help hold them in place. They also do a good job of keeping the cord out of your face, something that's alway a problem with those $5 earbuds from the convenience store. They have an IPX5 waterproof rating, which means you can safely wash them after a workout but they're not likely to survive a dip in the pool.
The headphones have a 2' cable and there's a 2' extension cord in the package. There's four different sizes of regular silicon eartips and three sizes of ridged silicon eartips that are designed to let in more ambient sound for cyclists or runners. I couldn't really make out much of an ambient sound different and the regular eartips are a lot more comfortable for me.
Audio-Technica's professional gear is known for its neutral sound reproduction. Most sport/workout headphones pump up the bass, but the SonicSports don't emphasize that low end. Whether that's a plus or a minus depends on what you're looking for.
Here's the deal with headphones like these: they're a million times better than cheap bargain earbuds but they're not nearly as good as some sports models that cost three times as much. If $50 is your price limit, these are a good choice.