Over the past six months I've cycled through at least six pairs of earphones; I lost one or two, most of them broke. Most were pretty inexpensive but I did spend about $80 on the Bose in ear headphones. The sound was awesome but they're very delicate and terrible for exercise.

I just picked up a pair of Apple's earphones that include volume control and a microphone that can be used with your cell phone. These earphones are by FAR the best out there:

Sound is awesome

They feel sturdy and seem less likely to break
The microphone is really convenient
Very comfortable and they don't fall out of my ears no matter how fast I run
They don't have rubber buds that are easy to lose and never seem to fit right

They're only $30 Once again, Apple wins with a great product.