Recently, I picked up the Creative EP-630 earbuds for about $20. While they don't sound quite as nice, they are just as comfortable as the Sonys, provide the same level of noise isolation, and the earbud tips never fall off. (though they are replacable) There is a slight problem with cord feedback - you can hear the cord rubbing against your clothes if you're running - but I got used to this within a week.
Nice bonus on the Creative pair - the connector sticks very well in the iPhone's slot. This means you can swing the iPhone just holding on to the earbud cord and it will stay connected. This saved my iPhone from a couple nasty falls already.
Finally, the cord is made of rubber similar to Apple's, which means they don't get tangled up nearly as often as the Sonys, and when they do, it's easy to untangle. And the cord is almost 4 feet long.
Update, 1 year later: I've gone through 2 pairs of these in 1 year. The second pair was free under a fairly easy warranty process. Both times, the sound cut out in one of the earpieces, a pretty common problem with headphones. The first time it was the left earpiece. The second time, it was the right one. Granted, I am rough on my headphones; they get shoved in my pocket daily. But I'm no longer recommending these for daily use.
