Best headphones for running?

Hi

I often work till late, sometimes early in the morning e.g. 3am and like to jog home to both keep fit but also to keep warm. I want to also listen to music while jogging.

The problem is that all the headphones I have tried just fall out. I don't like using proper headphones e.g. the big type when outdoors. Does anyone know of any good small phone type headphones that are handy for running with. I'm not bothered about the quality too much so don't mind buying a cheap pair that will stay in.

Thanks. I'll rep anyone for helping!