If you are the sporty type you can get some water-resistant headphones with sport clips to help hold them in place. There are also on-the-ear headphones that rest on top of your ears, secured with a headband. These are a little bigger, which can boost the bass and overall sound quality, even though the open back of these phones is less isolating. If you’re walking down a busy street that can be a good thing.
Headphone options can include things like wireless via Bluetooth, noise canceling to block outside sound or microphones and built-in device controls. Match the right one to your lifestyle, or, pick more than one set for your different activities.