I personally use Sony's MDR-EX38iP which has an in-line remote w/mic that works with the iPhone.
No clip or around the ear hook, it just stays in my ear and I hardly need to adjust them even under heavy movements such as running on a treadmill.
I've been through dirt cheap ones and really expensive ones (Apple In-Ear) and the Sony one's are mid range price, with a remote w/mic that works with iPhone, and one of the best sound (with lots of bass) out of the many I've bought. And most of all, they stay in my ear when working out.