If you are looking to stay cheap and don't mind losing the microphone (assuming you will be using these with an iPhone)... You can pick up some JVC Marshmallow's for under $20. I have a pair I use when I run, they never come out and the foam surround creates an industrial-earplug-type noise canceling feature.
If you are not a stickler for perfect sound quality and looking to save a buck, you should definitely look into these. I picked mine up from Wal-Mart for like $15, and I don't regret it one bit!
Professional Review:
http://www.onheadphones.com/product-...shmallows.html