In-ear headphones from JVC that both fit well and have good sound isolation. They are easily connected with a cord.
From Amazon
JVC Xtreme Xplosives In-Ear Headphones Sweat Proof Earphones with Built-In Remote and Mic for Call Handling - White
Robert Dyas
JVC Xtreme Xplosives In Ear Headphones with Mic & Remote - White