What I used to wear was a pair of nice Sony over-the-ear headphones... They were quite expensive (Somewhere around $20-40), but it was well worth it. They were so comfortable, were loud, and stayed on my head. They were perfect for my practice drum sessions and such.
But then I decided I would put them in my backpack and bring them to school... and they broke.
So, now I'm using the most uncomfortable earphones. I hate earphones, and the never stay in. So, I can't practice with them anymore. So sad ]: