VModa, Sony, and many other brands do what you want and sound reasonable. Your issue is going to be sweatproof and whether they stay in your wears while you work out.

I have a pair of VModa Vibes that have held up to working out. They may not last forever, but they were only $20 so I got a second pair.

I wanted to try the Sennheiser CX-680, but they didn't have a phone-capable set when I bought. Otherwise, the fit, sound, and sweat handling would have been ideal.

 

I'm using the NuForce NE-7M earbuds, and recently bought my wife the newer NuForce NE-700M earbuds which are very nice and of improved construction quality over the 7M's. Sound in each is great, mic control works well for both iPhone and my Evo.