This may be overkill for your purposes but, for both gym and jogging use, I use the Westone UM2 earbuds with Comply tips. There are no microphonics with this setup, in stark contrast to the Etymotic ER4p, and with the Comply tips sweat/slippage is largely a non-factor. I say largely because marathon workout sessions (2 hour spin classes or the like) may necessitate an occassional towel-off. The bass on the UM2s is tremendous. Treble and overall three-dimensionality are also very good, but a step below the Etymotics (in my non-professional opinion). The Etymotics are borderline unusable for jogging (though in a pinch I've used them, with some creative cable-routing to minimize microphonics). Of course, you will need to change the Comply tips regularly; when they lose their ability to compress/expand the sound quality decreases correspondingly. I imagine the Comply tips would work with other less-expensive earbuds as well for gym use. That said, I would watch out for any model where a significant volume or weight is outside the ear canal. In my experience, those types of earbuds (e.g, certain Shure models) are intrinsically unstable, and an activity like jogging will very likely dislodge them, which more or less defeats their purpose.
A good low-cost solution is the Koss KSC75. These are over-the-ear headphones, highly adjustable, decent bass, marginal treble. The KSC75 is obviously an order of magnitude (or two) in sound quality below the expensive Westones, Etymotics and Sennheisers of the world, but for sweaty, action-packed use they are more than sufficient (particularly if, like me, your style of caring for workout-related equipment is cramming it into a non-padded gym bag after use). That said, self-professed "audiophile" friends of mine have not been as taken with the KSC75s and, admittedly, since buying the Westones my pair have been relegated to a cardbox box in the closet. For $10 on Amazon though, (which is less than the cost of a pack of Comply tips alone, I wholeheartedly recommend them.
That was actually pretty damn funny.
