I realize I might get shouted down for mentioning this brand, but I have been very, very happy with the BOSE IE2 in-ears. With a portable device, the sound is very good, I like that they are somewhat open so I can still hear what's going on around me, but the best part is the design - BOSE provides two kinds of tips in S, M and L sizes with the headphones, so you can pick the best fit and comfort for yourself. I love the "StayHear" stability tips - they are made of a very comfortable and flexible material, and they have a wing that fits comfortably into the upper ridge of your ear to hold them in place. I can wear them for quite a long time with no fatigue
To some extent, I agree with you as I've had the BOSE IE2 in-ears in the past, and am of the view that they are some of the more comfortable in-ears around. However, in my experience, in-ear headphones are not comfortable, especially for long journeys or extensive use.
Personally, for comfort, (and sound quality) I generally prefer the cup head phones. However, some of the Cup headphones are massive, taking up a lot of space, which, as I travel a lot, and space is an issue, is also something I feel I have to take into consideration.
This year, I bought two sets of head-phones, both from the up market (and expensive) audio company Bowers & Wilkins, firstly, the recently released P3s, (fantastically compact and portable - more an 'on-ear' than a full ear Cup, beautifully designed and offering an excellent sound), and, later, in autumn, I also bought the P5s (wonderfully comfortable, extremely beautiful, very portable and offering an excellent sound experience).