i second the ultimate ears recommendation!
i've got a pair of the UE-7's, and they are incredible. from using them as a stage monitor, to listening to them with my ipod, they are an amazing piece of gear.
it was a little trouble to get the molds to fit "just right"...even tho i had impressions made of my ears for the custom fit/molds. i guess ultimately, it takes some getting used to (no pun intended). i know when i got my first pair of IEMs, there was a bit of an adjustment period...but after an hour or two, you'll never go back to anything else. they are especially great for using them on an airplane. they block out ALL of the noise, and you can listen in peace.
for a cheap set of IEMs. i just love the shure e2C's. i take them with me about everywhere.