For working out, jogging, or any other athletic activity, I can't recommend these enough:
Bose SIE2 Sport Headphones
http://amzn.com/B008V9RW58 I owed the original Bose and I have a friend who owns the SIE2, and I've tried them out. I agree, if you're involved in some activity, those are fantastic.
My only issue with Bose is the same as it was with Klipsch - the cords are fragile. (Admission: I'm rough on earbuds...I've ripped four pair since 2008)
I prefer the Shure SE215 because the cord is much sturdier, and it's detachable - it will pop out instead of breaking. And since they're detachable, you can buy a replacement cable.
As for sound, that's always a subjective thing. Bose has that "warm, smooth" sound quality that many people love. Shures are for snotty/obnoxious music snobs (like me) who want an internal micro driver that gives you a great reproduction of Geddy Lee's bass, Rick Wakeman's piano....and god, Miles Davis has never sounded so good. :)
Also....for years I was a fan of the Creative Zen MP3 player. Wow, was I wrong. I wound up buying a Cowon J3 player. The difference was incredible. So with the Cowon J3 and the Shure S215, I've gone "beyond" CD quality, haha