Once I learned this trick to folding the wire, I never had that problem ever again:

https://www.youtube.com/watch?v=9D_oV14dGmM

EDIT: Some people in the comments seem to think this shortens the life of the cable, but I've never had problems with Apple earbuds or Bose headphones (that have a replaceable wire anyway).

EDIT2: Another advantage of wired headphones if you want the wire out of the way and to make them less visible: Just thread them through your shirt!