In-ear headphones from JVC that both fit well and have good sound isolation. They have clever buttons that you can use to quickly skip songs or answer a phone call.
From Amazon
JVC HAFX38MA Marshmallow Custom Fit In-Ear Headphone with Remote and Microphone - Blue
OnBuy
JVC HAFX38MR Marshmallow Custom Fit In-Ear Earphone with Remote & Mic - Red
Robert Dyas
JVC Marshmallow Custom Fit In-Ear Headphones with Remote & Mic - White