Etymotic's ER6i's are the BEST thing I have ever used on a bike.
They fit pretty deep in your ear canal and like ear plugs, they block out a lot of external noise.
Since they fit deep, pulling a helmet down over your head won't pull them out.
Another plus is you can listen to the music at a MUCH MUCH lower volume since it blocks out so much of the ambient road/wind/engine noise.
Additionally, they are dual-use as an airline headset. She can let you borrow them if you have to fly on a plane - you will be amazed at how much more relaxed you are after your flight not hearing crying babies, fuselage wind noise and the drone of the engines. I have Bose QuietComfort 2 noise canceling headphones, and due to size and noise blocking ability, I find myself traveling more often with the ER6i.
I'm normall pretty frugal and had a hard time justifying the ~$80 cost, since my mp3 player was only $50, but I have not had even a tingling of buyer's remorse. A buddy who recommended them to me even got a free replacement set after he accidentally broke his 2 year old pair.