I very strongly recommend the Sony MDR-EX71SL. They fit more loosely than other in-ear-monitors I've tried, especially if you use the smallest inserts (they come in two sizes), which means more ambient sound is let through and yet they won't fall out easily. They are also, by far, the most comfortable headphones I ever wore and that includes headphones 20 times more expensive. You simply forget they're there and just enjoy the music.
Their sound quality, especially the bass response, is impressive for just $25. I think they're unmatched within their price range and even somewhat above it. They have a short cable and come with an extension cord which provides more flexibility. The cable is also thin, light and yet sturdy which I think is a major pro if you're using them during any sort of excersise. They can also handle the iPod's output very well. They're actually the only headphones I ever tried which for which I can't find a single flaw and the only ones I'd recommend unequivocally.
http://www.amazon.com/Sony-MDR-EX71S.../dp/B000092YQW