The Sony Qlasp earphones have a clip that is designed to attach to your earlobe like a clip on earring, never to come off (unless you want it to of course). Weighs less than a third of an ounce, so you barely even feel it! The earphones are designed to stay on your ear throughout even the most rugged of activities.
Here’s a similar concept
Mobigrip is Worn like magnetic earrings, the affordable earphones sell for about $19 and come in a variety of styles, attaches easily to all cell phones (as well as digital cameras and portable gaming devices) to keep portable electronics securely connected to their users.