If you have the means, the best way to go are
ultimate ears. Of course, I don't have them but The Boy's company paid for his and he loves them and refuses to use anything else now.
I just bought a cheap pair that goes over the ear from Target. I used to have Nike headphones that got me from my walkman days until about 6 months ago. I'm looking to get another pair, but the price seems to have gone up since I last bought them.