My favorite style of headphone is an open-ear design, something along the lines of a Stax Pro or Grado RS-1. But anyone who'd use these while working out at a public gym would have to be slightly mad. No, for gym use in-ear style earphones are definitely the way to go - small, light, and noise isolating. That last attribute is especially important in a place where bad music blares from dust-encrusted speakers in a futile attempt to drown out the sounds of clanking and grunting.
So here are an admitted open-air design-lover's list of favorite in-ear workout earphones. The range is from under $30 and go up to slightly under $1000. Obviously they don't all perform at the same level, but all deliver well above average value.
Ultimate Ears UE200 - $29 - These are the first step up the ladder from your stock Apple earbuds. They get the midrange right, don't muck up the bass too much, and fit well. I reviewed them at AvGuide.com. How good are they? I could easily do a full day airline flight with these in my ears and still be happy.
Paradigm Shift E1 - $49 - If you like a little bit of extra bass, these will suit you mighty fine. Excellent build quality and super fit, especially if you wear the cables over the top of your ears and down your back. I'll be looking at the whole Paradigm Shift line-up in AvGuide very soon, but if $50 is your budget limit you should definitely try these.
Shure SE-215 - $99 - I reviewed them in AvGuide.com back in December of 2011 and they've been my go-to gym earphone since. They're still working perfectly and I'm still on my first cable. They come with a wide range of fit options, and trying them all is definitely worth your time.
Etymotic er4PT - $299 - For several years the Etymotic er6i's were my everyday gym in-ears phones. They proved to be robust as well as great sounding. The er4PTs have the same tight isolating fit, harmonic neutrality, and dynamic accuracy. In fact the er4PTs are so good that it might be worth springing for Etymotic's custom fit ear-mold tips before trying a more expensive in-ear monitor.
Ultimate Ears In Ear Reference Monitors - $995 - These require a session with an audiologist to do silicon impressions of your ears to make these custom molded in-ear monitors. Until fairly recently the Ultimate Ears Reference Monitors were my regular gym earphone, and they worked great, but I woke up one morning and thought that maybe I should spread the abuse around a little and started using the Shure SE-215s. But, when I travel, or record, the Ultimate Ears Reference Monitors are the in-ears I take with me.
If I were pressed for which in-ear has the highest sonic-value-for-price ratio I'd call out the Shure SE-215s, but the $299 Etymotic er4PTs are nearly the sonic equals of the $995 Ultimate Ear Reference Monitors for ¼ the price. The Ultimate Ears are quite a bit more comfortable, but that's in part due to their custom molds, which are an after-market option for the Etymotics.