I wear Sennheiser CX 400 II's for everything. Excellent quality in-ears which cost around £50(~$80) and they're definitely the best i've ever owned. They come with a variety of buds as well which is very useful.
If it's HEADphones you're looking for exclusively then I can't help you, don't even own any right now :(
Skiing is my fix. I get high when I'm doing it and I come down when I'm not.