I have a set of Sennheiser CX300s. They are quite cheap, but they are the base model - I'm sure the ones up are better. My only gripe with them is that as they are in ear ones, the bass can start to take over sometimes, but mostly they're fine, and that can depend on the bitrate of the track and the EQ etc - the changes are just amplified a bit with these.
I would say these for sport, as they won't fall out all the time when running etc.
It takes a bit to get used to them, but really thats only a couple of days, then non-in-ear ones feel funny :p. They also do keep plenty of sound out.
Edit: According to people who own them, the CX95s are very good.
I don't see why you want 2 sets of headphones though. If one was for gaming, then I would understand, but I don't get why you need a different pair for 'sport' to 'general use'.