The short of it is I prefer headphones.
When I started going to the gym summer '13, I finally had a phone that could act as an mp3 player for me. I bought some earbuds with my phone that even had a switch at about neck level that could perform various functions, and doubled as a microphone so I could still take calls. As I tested them out on the treadmill, they would keep falling out of my ears every couple of steps. It was really distracting...I tried different inserts that came with the earbuds, to no avail...shit kept falling out of my ears, eventually even to the point where I wasn't even jostling around in a run, I'd just bend down to pick something up and one of them would fall out.
I bought some cheap, different kind of earbuds that had a variety of inserts. Some of them were even smaller than the last, so I went for the biggest. It was uncomfortable as hell for me...and even then, when I would start running on the treadmill again, they would eventually wriggle their way out.
Then I bought a fifteen dollar pair of headphones from sony that wrapped over the ears and behind the head. I have NEVER had a problem with them ever. When not in use, they fit snugly around my neck. I use them all the time.