I would strongly suggest the Yurbuds Ironman series. Other than wearing an over the head, headphone, I have never found anything better. I have owned every Sony "sport" headphone there is, most of the sennheiser one's too. I used my PX100 for a long time before they finally shorted out due to too much moisture.
The yurbuds gives up a little sound quality to wearing something like a PX100, but they are better than any sony or any Senn sports headphones to date. And you can't get these things to fall out. It just doesn't happen. The humidity here has been brutal and it even went back and forth between drizzle and rain a couple of weeks ago, and they didn't budge whatsoever. I always thought the Senn Twist to Fit system was going to be the best I had found at least as far as staying in place, but they weren't. They succumbed to sweat and slid out after a period of time. Some of the Sony's stay put pretty good, but the sound was too dreadful. Tinny and empty.
I am tempted to use the tips of the Yurbuds with a different earbud to increase sound quality, but I 'm just not sure how well a typical earbud cord will hold up to a good sweat.