I completely understand your frustration. There is not a lot of information out there on this topic. I originally bought cute little ear buds for my kids and realized that they would not stay in. After doing a lot of research I found the Kidz Gear Wired Headphones (as mentioned earlier) and the Caliphone headphones (they are a little cuter). Both work great and are less than $20.

I ended up doing a review on headphones for toddlers and kids if you are interested.

Good luck !
Pint Size Pilot