IME, it depends a little on the type of HRM strap that you have. My old clunky plastic one was forever getting knocked out of place by my underwire sports bras (won't wear anything else). The comfort band for my new Suunto HRM seems to stay in place much better because there's almost no plastic. The transmitter is the only plastic piece and fits nicely between the girls.

That said, I really like the Moving Comfort Cara bra for just about anything. It doesn't look like it should provide enough support for running and mountain biking, but I prefer it to my Bendon Sport super-bras.