I don't like in-ear headphones either, they hurt my poor delicate ear holes. I purchased
these Philips SHS8100/98 Earhook Headphones a couple of years ago:
The over the ear holders keep the things from falling off, and keep you from needing to jam anything into the ear. The sound quality is fine, nothing to get overly excited about, but they are the best phones I've tried for my ears. They're reasonably priced at $30. I also have a pair of Shures and a pair of Ultimate Ears that have great sound, but hurt to much to wear, and inevitably fall out of my ears.