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I use Sennheiser CX300s when I'm sat still (on trains, planes etc) but they suffer from what I'm told is called 'cable/body phonics' - basically, when I run I can hear the cable bouncing up and down.
I was thinking of getting some PMX80s but someone's thrown the iGrado at me as a suggestion. Anyone use them for running? How are they?
I love my Grado SR60 headphones, sorry if that doesn't help, might have a look at the iGrado's though, need some new headphones for the ipod.
I use Sennheiser MX75s or something very similar. They're not particularly shielded, which makes them perfect for running as you can still hear traffic, and they never fall out. They're also moisture resistant so you can sweat into them without any issue.