I've previously used Philips in-ear headphones and was very pleased with them, but they kept breaking down at the gym because sweat was leaking into them. So I wanted to find an alternative.
I came across these Sennheiser CX380 but was worried the sound quality wouldn't be as good, but fortunately they're excellent. Same rich, deep bass and very clear and bright treble, but sweat-proof. They did fall over once at the gym, but it was just a case of wiping the sweat off the bud with a towel and they were ok again. The carry case is actually useful and very good at protecting the headphones. The connector is well insulated so those little pulls don't cause it too much trouble. Would recommend these headphones, they have everything if you want some buds you can wear while running/working out.