Another vote for Shure or Etymotic's here. Though I had a pair of 'Koss The Plug' ones that were like $10 that were pretty good for being so cheap.
I've never had any problems with my Shures getting sweaty & failing.
I have had a pair of E3C's for about 3 years now. They've gone to the gym once or twice a week almost every week the past 2 years. I also wear them when I mow the lawn too, as they not only cut down on the noise but they let me listen to music while I do so. I've never had any problems with them. Great, great headphones.
But no, for things like jogging or bike riding, they're not so good as their purpose is to block out ambient noise.
My wife has a pair of E2C's that she uses at the gym too, and the only problem she's ever had is that one of the wires' insulation cracked. They were under warranty, and Shure replaced them with no questions asked with a brand new set.
I do use the earplug-like foam material tips instead of the rubber ones, so maybe that makes a difference in keeping out the sweat. 'Cuz I sweat a lot.
Another good set of inexpensive headphones you ought to check out are Sennheiser PX-100's. They're standard open-ear headphones. Not the best if it's a loud gym, but great in that they don't block out ambient sounds. Darn good sound quality for not a lot of money.
