Thanks for your suggestions.
I ended up going with some SkullCandy ones that clip over the ears:
http://www.skullcandy.com/shop/chops-black-chrome.html
I didn't want to spend too much money, and these were $44.95 from JB Hifi.
They feel good - I can still hear stuff around me (important when jogging!) and most importantly they don't fall off.
I got a clip off my old phone earphones that can hold the cord and clip onto my shirt, so the cord doesn't swing about and get caught on stuff.
I think i'm set now.
Cheers