Yurbuds are my solution for exercising with headphones. They fit over top of existing headphones, though most of the options that you can purchase from the website come with a pair of in-ear earbuds. They twist in and have never fallen out on me. I just upgraded to the ironman version recently and have never fiddled with them once I start running. I run half marathons and did a full marathon earlier in the year, in the rain, and had no issues with my music the whole time training and running the race.
If you run regularly in races, they are often at many of the expo shows that happen before the race and will be willing to let you try a pair on. They have sizes in the blue/pink versions, but the ironman have a softer gel that fits with any size ear.