Exercise headphones are for people who like to work out, run, bike and listen to music at the same time. These headphones need to satisfy special criteria. Mostly they should be able to withstand the rigors of a workout, including the sweat and rough handling. There are two choices, wired and wireless.
Wired headphones have some benefits over their wireless counterparts. Check an online discount shopping site and you will find that wired is much cheaper than wireless. In addition, they do not require charging. They are good for runners that do not mind the wire and for any low-impact activity.
There are two types of wired headphones: sealed and unsealed. With sealed, the bud fits exactly in the ear while unsealed has the bud sitting on the ear. The enclosed nature of sealed headphones provides better sound than unsealed. However, there are people that find the complete lack of outside noise or the fit to be uncomfortable. The best advice here is to try each one out.
Durability is also important. Headphones, especially those meant for exercise will be subject to constant abuse. The connectors will bear the brunt of any falls alone or with the phone. Check the reviews on an online shopping portal to confirm durability.
The final choice comes down to price. The better the audio quality, the more expensive the headphones. At this point, the advice would be to buy the best headphones that match your budget.