A few things about myself with headphones:
I cannot wear ear bud headphones (the standard ones, like iPod and Sony buds)
The ear buds that I *can* wear (SkullCandy, anything that has the squishable end) are much too loud and close sounding. I'm afraid of losing more hearing (25dB loss in right ear, ~65dB loss in left ear).
I don't like over the head headphones because they fall off my head.
Ear clip headphones hurt my ears (they pinch).
The only type of headphones that I currently like are behind-the-head headphones, which are becoming rarer and rarer to find. The current ones I use are the Sony MDR-G45s. I have been using these headphones for about 5 years now. I love them. They are comfortable enough to exercise with, don't fall out of my ears, and I can take them off easily and without feeling like my hearing is getting worse.