you ain't gonna like this but....
you probably will need earbuds. Gyms are noisy places and I understand those that visit tend to jump around a fair bit. Given the heat generated by the jumping, closed back (and, with them, mostly the noise-cancelling end of the market) will probably not do (you're likely to have them fill up with sweat and listening through liquid isn't ideal!).
On-ears tend to expose you to external noise - and gyms tend to have (a) other people talking/grunting; (b) clanking and whirring machines; and (c) pumping "gym" TV/music vids.
For both on-ear and open-back, the jumping will mean you're constantly adjusting.
Quality in-ears come with a variety of "swidgy" fit sleeves which allow you to find a pairing that will match your freakishly small ears
![Smile :) :)](data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7)
grin
![Smile :) :)](data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7)
- I've only got one freakishly small lug-hole, the other one is normal!
Last time I was in Richer Sounds they had Klipsch x10i for £139 (RRP £210).
I'm use some of the resident headphone gurus will be along shortly with some better suggestions - my post is just food for thought.