Even far from being wireless the best ever small portable headphones I've ever used were Sennheiser cx 500 - with their in ear bulit, they create a major full sound experience such as with huge wrap around ones.
Otherwise a huge KOSS fan, but these take the crop when it comes to small and portable ones. I recommend also checking
http://en-us.sennheiser.com/earbuds-in-ear-headphones although I have no personal experience with these "sport" models.