I have followed numerous threads about headphones in search of the perfect set. Ipodlounge.com has all kinds of amateur reviews and everyone has a different opinion. You gotta own $100 Shure's or $120 Etymotics or whatever the flavor is today...
I've come to this conclusion:
Headphones/earphones are not like buying any other piece of electronic equipment. Everyone's ear canal and hearing level are slightly different. The bottom line is that you just have to try different things until you find something that fits, seals and sounds good to your ears.
Unfortunately, in-ear headphones are much like a toothbrush as far as cleanliness... You can't go into a store and poke a bunch of those things in your ears without getting or giving some of your ear nastiness. I don't know about you, but I've seen some of the weirdos who hang out in stores like that... YUK! (Apologies to said weirdos.
So, you must keep buying them until you find the "perfect" set. Most audiophiles have a headphone graveyard in the bottom of their stereo cabinet. Various sordid creatures living in the tangle of wires.
For my part, I find the new Apple ear buds with the small adaptors to fit and sound great. The old buds would cause pain after about 2 min, and I just couldn't abide them.
Just my $0.02. Sorry for the long post.