Sennheiser do a range of decent earphones designed for sport use (they are usually green in colour) and they are sweat and water resistant and a bit more durable than normal earphones, the PMX 70 is an ear loop design that seems to have good reviews. I think I have seen them for about £30 ish.
I picked up some panasonic in ear RP-HJE300 headphones from John lewis for £20 the other day because i needed some cheap but decent earphones in a hurry, and I am very surprised and pleased with them. They fit very securely in my ears and don't fall out when i run, the sound is very good for the price, but my favourite thing about them is that they are by far the most comfortable earphones I have ever used, I have fallen asleep with them in a couple of times now, and when i took them out in the morning, my ears felt fine.
I am not an earphone expert though, so hopefully someone else can provide you with some other suggestions