Here is a sweet set of earbuds that won't break the bank. Buy a set of Koss earbuds, the type that have the foam plug and a sound tube running down the middle. Carefully remove the foam and expose the tube, the tube can come of but you don't want to rip it. Now get yourself some "regular" foam ear plugs. Trim them to length. Heat up a paperclip with a lighter and melt a hole trough the lenght of the plug just smaller in diameter than the sound tube. Make a few sets so you have replacements when they get dirty.Now place the foam onto the tube like the originals. Now what you have is a earbud with decent bass and good sound protection from the wind.
This is the best solution I have found without spending big bucks, works better that in helmet speakers!