We normally use the Apple Headphones only because it seems we have many of them around the office.
Others we have used:
-Bose® SIE2 Sport Headphone. These produce lovely sound and stay relatively snug in your ear during your workout. The downside is that they don’t have a mic (if playing music from your phone this is an issue)
I have bought some from Skullcandy (what a name!) with a built-in microphone. They are my out-of-doors choice. The ones that came with my iPhone simply do not stay in my ears.
Indoors, I prefer to use over-the-ear headphones. I use a Bluetooth set from Brookstone.