Can you recommend a very comfortable pair of headphones?

I’m looking for some headphones (note: headphones, not anything resembling “ear buds”) for my ipod that will stay very close to my ear, and aren’t going to fall off in a swift breeze. I would also like for them to be decent for wearing while working out. I shave my head very close and so have no hair to help the headphones stay in place, and the current pair I have (Sony separate headphones with retractable cord) fall off my ears all the time and drive me nuts. Thank you in advance for any suggestions.