In-ears buds would be the best bet. I got the white one from Sony, weighs almost nothing in my ears and produces a strong bass. A good $80 investment (when it first came out). Panasonic should have some for around $50 now.
If you can dish out extra $30-50, try Bose In-Ear. Bose has a reputation to consider for the price around $120-150, the quality that Bose delivers worth every penny you spend. (that is, if you're really into quality).
PS: My friend had the V Moda, it was really heavy since it was mostly alluminum.
PS2: Those were Canadian pricings, I haven't bought a pair of buds since I got the In-Ear 3 years ago. :/ They might be dirt cheap now (not really dirt cheap, but around 20-40 dollars)