I've taken the train to work for most of my adult life, so my personal audio setup is kind of like my car stereo. Consequently I've been through a bunch of phones.
In ear:
I started off using some discontinued Sony model which sounded good, but was a little too thick on the bass (to some a plus). My problem with them was that the silicone tips would sometimes get stuck in my ear and I'd have to pluck it them out with a tweezer when I got to the office/home. Cost was the lowest of all I've tried about $60.
Next was the Etymotic ER4-P. Very flat response, which I liked, but the wires were extremely microphonic. The slightest brush against them and you hear it loud and clear. But when you were standing still and the program material was recorded and mastered well, it was like heaven. I think they were like $200 at the time.
After that I tried the cheaper Etyomitic phones that were more like the Sony in terms of frequency response, but they were cheap and uncomfortable.
Then it was the Shure 4 model which ever that was at the time. Those were a good combination of comfort, sound, and build. The mids were a bit muddy, though.
After that it was the Shure 5 whatever it was called then with the push to talk thing (which is still in some drawer unused). The response was great. Round bass, acceptable mids, but a bit dull on the highs. Comfort was ok, but I never got why the wires had to come out of the top. It was hard for me to keep them tucked behind my earlobe and it felt like I had these crazy hairs growing out back there. I used these from 2006 until about 6 months ago. One of the wires started fraying and the liquid electrical tape didn't last long as a solution. I think these were around $500 when I got them, which is when they first came out, I think. The current model is a lot cheaper, I think.
In the meantime I tried the UE three driver model and found that they were extremely uncomfortable. There was a plastic ring that would press up against the opening of my ear canal and it had a prominent seam which felt like a cheese grater. I called them and they said they're all like that and basically if I didn't like them I should bring them back.
I also tried the Westone 3 driver and couldn't get any of the tips to make a seal. Called them and after being transferred around, they finally said someone would call me back in 3-5 days that could help me. Back they went.
Thanks for reading if you got this far. Now I'm using the new version of the Etymotic ER-4P, which has better wire and I think the response is better, too.
These were $300 at B&H. I'm no audiophile and most of what I listen to is Industrial or Darkwave, but these do sound really good, even when the program material isn't as hotly mastered as current stuff.
All of the ones I used and not returned have had excellent rejection of external noise. I think the Shure and the Etymotics actually have more -db of reduction than active systems like the Bose ones which require power. This is especially important to me because of d-bags with cellphones on commuter trains. The life good earphones can save can be their own.
Headphones:
I've had two pairs of Sony MDR-7506 phones since 1992. They sound great. They fold up. They're cheap. They're indestructible. 'nuff said