I've always had bangs, and do any combination of the tips already written above. Bani Bands makes some good headbands that stay put, and you can get them in different widths, I like the thick ones to hold my bangs back. Also, if you are using bobby pin grips, use two of them, and make an "X" with them, they grip each other as well as your hair, and don't budge at all.
AC Marathon: 10/13
I second the hat suggestion. Keeps the sun and rain out of my eyes and my hair out of my face. Almost can't run without one.
"It's not the mountains we conquer, but ourselves."
~ Sir Edmund Hillary