I've had some issues with headphones for running lately, been through a lot of pairs and they all fell apart or malfunctioned in some way, shape or form.
from Amazon and I'm hoping they'll work out. They're earbuds, but they don't fall out like the cheap ones. The sound quality is amazing, too. Plus they come with a little clip so the cord doesn't get in my way on the treadmill.
I paid about $30 for them, the price has gone up since.
As a stopgap I was using a basic pair of white ones from Target -- don't know what they were called but they were next to the iPods and had various colored earpieces.
Prior to that I remembered a lesson I've learned time and time again -- never, ever buy electronics from WalMart. I'm still haunted by the day I asked for help in the electronics section and the guy didn't even know what a USB cable was. Recently I bought what was probably their most expensive pair, about $10. They hardly worked out of the box. I do have to give that store credit though -- I returned them disgusting and sweaty and they still gave me my money back.
For cheap-o electronics in a pinch, Big Lots is actually a good bet. I've gotten cheap headphones from them that lasted more than a week, and I got a $5 radio the other day that also works pretty well.
Prior to my adventures in cheap earbuds I went through two pairs of Sennheiser PMX80 Sport head phones. These were the kind that wrapped around your head. The first pair was great -- lasted for months before the sound quality finally gave out. However when I got the second pair one of the earpieces fell out after a couple weeks.
I did some research, and it pointed to the Sennheisers I just bought, so hopefully they'll work out!