MEE audio Sport-Fi M6 Noise Isolating In-Ear Headphones, $12.99
I was looking for some headphones to wear while exercising, but didn't want to shell out for a premium pair — I know I'd either destroy them or lose them. This pair was one of the cheapest I've ever purchased, but they are by far the best.
They clip to my shirt to stay put, a wire cinch keeps them from getting tangled on weight-lifting equipment, and they even come with a carrying pouch. When I'm exercising, they stay firmly in my ear, sound halfway decent, and simply will not die.
I've run in the rain with them, left them outside, and even stepped on them. And they come in some cool colors! Best $18 I've ever spent (editor's note: The price has since changed).