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I've seen 3 type of sport earphones so far, there are:
Neckband styles that wrap around the back of your head (such as the Sennheiser PMX 680i)
Earclip styles that hang over your ear (like the Sennheiser OMX 680i)
*Earbud styles * that you stick directly in your ear canal (like the Sennheiser CX 680)
What style should I consider in terms of comfort and ensuring the earphones stay on while for running or jogging?
Earclip is likely to be your best bet. These, I have found, hang on pretty good, even though they can shake around a bit on your ear.
Neckband will flop around on the back of your neck, especially if you have short hair. Also, the neckband is heavier, so it will naturally be more irritating. If you ever workout inside the gym, a neckband is also distracting when you try to do any exercise laying on the bench.
Earbuds are very nice and would be perfect unless you jog along the side of a road. Earbuds often cause you to hear your own body's noises (think of chewing something with your fingers in your ears), and this will prevent you from hearing traffic approaching you from behind.
I have struggled for a couple of years with iPhone headphones (that keep falling out due to some weird configuration of my ears).
I also had a pair of early Senheiser earclips similar to the ones below. Again due to my ear shape they didn't fit perfectly and I had to turn the sound way up to be able to hear it.
I now have a pair of Etymotic hf2 and they are friggin brilliant. I've been hesitant to get ear canal earphones for a while but my fears about them being uncomfortable were unjustified. They fit well and seal off the outside noise just right to be able to listen to podcasts and not miss anything. I regularly run past an eight lane highway and I don;t even have to adjust the volume to be able to hear.
Etymotic hf2 http://static.phonesreview.co.uk/wp-content/phoneimages/2008/08/hf2.jpg
I've recently been using the Jaybird Freedom earbuds. They have bluetooth so I am not dealing with wires. There are 3 different custom fit buds along with 4 other adjustments. They stay put, fit well, are comfortable and the sound is very decent.
