I use a coupla different models both of which stay in my ears very well. They're both the type that actually get into your ear canal.
The less expensive option are
"The Plug" by Koss. I think that the
"Spark Plug" is essentially the same thing, just shaped a little differently on the outside and colored white to match Apple's scourge.
I've modified mine slightly by trimming down the hard tube in the middle of the black foam just a bit. Just squished the foam down a bit and snipped 1/8" of lenght or so offa the tube.
I've also got a set of
Shure E2-C's, the lease expensive of their in-ear models. I've got clear ones instead of black.
I'd certainly like to have one of the upper end Shure models such as the
E5's but, despite being a DJ, I'm not really so much of an audiophile that I feel the better sound would be worth another $300+ dollars.

In fact, I'm happy enough with the Koss's that I dunno if the E2-C's I have are actually worth the extra $80 or so.
The Koss's are probably actually better for peppering to warm up, as they're a bit lighter.
Note that any of these true in-ear type buds will SERIOUSLY impair your ability to hear outside sound when used properly. They REALLY block out outside noise when you've got them in your ear canal as they're made to be. Of course, you don't need to stick 'em all the way in. I usually leave them a little loose when in a situation where I'd need to hear (while riding my bike in traffic, for instance) and have had no problems with them staying in.