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I use these while walking around campus, or at the gym. They never fall off because of the 'StarHear' tips.
 
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For everyday working out I use some cheap Sony MDR-E829V Fontopia Earbuds... quite good for $10. I own a nice set of IEMs, the Etymotic HF5, but the crazy-good sound isolation I bought them for isn't always practical.

For home listening I have the Sennheiser HD-595 and Koss PortaPro headphones.
 
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