To cut a long story short, my recommendation is either:
a) get the MX-500/400 for total outlay of less than $20 or
b) if your gym is loud and you're worried about damaging your hearing, get an in-ear canal type earphone - get a used Sony EX-71 on this board for like $30. The ER-4 is overkill if you primarily use it at the gym.
The above is based on the assumptions that you 1) are risk averse 2) don't wish to blow mega-bugs on this 3) use primarily in the gym. I actually use an Er-6 in the gym myself, but I acquired it for an unusually low cost. Otherwise, I'd have bought a used Ex-70 or Ex-71. Below is more babbling if you want the long story.
EARPHONES
The lowest risk solution is the Sennheiser MX-400/500. For $10-15, a great earphone, basically beats the pants off anything else up to $90 or so. Only downside on these is that they don't block out external sounds eg the gym sound system. While I loved the MX-500 sound quality, I ended up using them primarily for jogging. In the gym, they were defeated hand down by the Koss "The Plug".
B & H is the cheapest online source for the MX-400/500.
http://www.bhphotovideo.com/bh4.sph/...ID=F546293D590
http://www.bhphotovideo.com/bh4.sph/...ID=F546293D590
EAR-CANAL PHONES
For $20 you can get the Koss "The Plug". They add isolation so you can block out the gym sound system etc and protect your hearing. The plug DOES sound muffled in comparison with the MX-500, but in a loud gym with stereo system and other loud around you, the MX-500 gets drowned out, so that theoretical comparison is irrelevant. I used the Plug at the gym for quite a while and its fine for that purpose, but after about six months I wanted a bit better clarity. When I got some more money I traded up for a better in-ear canal phone. Still, for $20, I don't regret the purchase and it served me well for those six months. The Plug is available at Circuit City. Radio Shack also has their own model of this earphones
The Sony EX-71. An update of the Ex-70. Better sounding than the Plug and has better isloation, but of course 2-3 times the price. But not better sounding than the MX-500. You can get these used on this board for $30 or new at retailers for $45-50.
Etymotic Er-6. They sound a step up from the MX-500 (not that I have a problem with the Sennheiser). They add isolation so you can block out the gym sound system etc and protect your hearing. BTW I have NO microphonic problems at all when using the ER-6, I think that only is a factor with the ER-4. EEr-6 can be found new on E-bay for $115 or Headroom for $130. You can get a used pair for $90, here on this board.
The Etymotic E4-P: you won't really beat the sound on this one. But it costs $250, and then you get into issues of microphonics. E-bay or Headroom for best price on this one.