How To Keep Earbuds In Your Ears
The easiest, cheapest way to keep your earbuds in your ear is to use expandable foam ear plugs (also called single use ear plugs).
Here's what I've been using:
http://howardleight.com/family/index/1
You can get similar earplugs at most home improvement stores.
First put the earbud into your ear where you'd like it to stay.
Next put the flat, wide end of the foam earplug against the earbud and the rounded end of the foam earplug against the opposite side of your ear.
More specifically, the rounded part of the foam earplug sits in the concha of the ear, pushing against the anti-helix of the ear. The Concha is the hollow next to the ear canal.
Allow the foam earplug a minute or so to fully expand and you should have a fairly snug fit.
You can use the foam earplugs many times before they begin to lose their "expandability."
Be aware that if your earbud wires get pulled, they might pop the foam earplugs out of your ears without your knowing. So if that happens, check to make sure they're still there.
Keep a few extra pair around as you will surely lose some from time to time.
MORE INFO:
In regular use you put the rounded end of a foam earplug in the ear canal and the wide, flat end against the antitragus of the ear. But since your earbud will be blocking the ear canal the usual geometry won't work. So the best fit for the foam earplug is in the concha, pressing between the earbud and the anti-helix.
If you have questions about where to place the foam earplug, here is a link to a diagram of the human ear structure:
http://en.wikipedia.org/wiki/Pinnae
Hope this helps!