Why can't I get earbud-style headphones to stay in place?

These little buggers just do not want to stay in my ears! I am truly mystified as to how these things became so popular – the concept is great, but seriously, it shouldn’t take more than a few seconds to put headphones on. As much as I want to wear this kind I always end up reaching for the old standard over-the-head style. Has anyone had a similar experience, and if so how did you overcome it?