Well it's an easy choice really.

I use the Sony MDR-EX71SL in the gym. They have never fallen out, remove loads of backgound noises and sound really really good, on the down side they are expensive (but worth it!) and hurt my ears a little after about 30/45 mins (but thats just me). I wouldn't use them on the train, but for the gym they are perferct.

Hope this helps.

Cheers

Cris.