I originally bought JVC Marshmallow earbuds to wear under my helmet, but either one side or the other would pull out just putting on my helmet. I found a pair of Sony earbuds that don't pull out when putting on my helmet:
Sony MDR-EX32LP "Big Bass" earbuds. They are $31.99 in Best Buy. Absolutely AMAZING sound reproduction, particularly the bass. They also come with 3 different earbud sizes...medium is already installed and they seem just right. They have a smaller end-to-end profile than the JVC's, so much less is sticking out of the ear.
I don't think they'll block out outside sound as well as the JVC's, but if the JVC's won't stay in, then that makes them pretty useless.
Can't wait to find out how good they are when riding. Where's the sunshine?