Lately, I've used headphones from Nike: flight and flow.

My first pair of flight headphones worked great until my sweat started to destroy them. Then, I got another pair and for whatever reason they can't seem to stay in my ears. I am now using the "flow" headphones and they fit perfectly and claim to be sweat resistant.

I found that for athletic activities it is better to behind-the-neck or some type of ear-bud w/ around-the-ear clasp. Bud and over-the-top headphones just have too many problems when you're moving around a lot.