A few years back I was sick and tired of headphones falling out of my ears when snowboarding. I ended up just heading over to Best Buy and getting the cheapest set of headphones I could find. They were Skull Candy Dubs. I went cheap because I didn't want to have to feel bad if I destroyed them on a lift or in a fall.
They sounded... well, not great. They weren't horrid like some dollar store headphones and they stayed in my ears. They were also comfortable enough for 5+ hour sessions and the part that went in your ear was rubber and didn't deteriorate over two seasons.