I have a pair of Shure SE530s (with the push-to-hear module, which is pretty cool, but don't use it live). I had Sensaphonics custom make me a set of molds.
The plus side is enormous:
- The frequency response is incredible, going as low as I could want as a bassist
- The comfort is (relatively) great, providing excellent sound isolation. And, since they're custom made for my ears, they fit very well
- Because they fit so snugly, they do a great job of blocking out everything, allowing me to play at lower volumes which translates to less hearing damage in the long run
- With the custom molds, there's no chance mine are going to fall out. Furthermore, they're made to fit MY ears, so I don't have to wrangle with awkward shaped ear buds
- Using IEMs instead of wedges / monitors enables you to carry less equipment, which, in itself, has numerous advantages
The down side is also significant:
- There's no substitute for moving air, regardless of how great the frequency response is
- Because they're so snug, onstage communication and audience "cheering" is barely audible. There are ways around this, such as having a microphone set up just to pick up the audience, then having that fed directly into your headphone mix. Still, it's not the same
- While I'm comfortable with putting them in and taking them out, it's still an effort. I'd say you get used to it after a while, but it's still more effort than not having to use them at all
The best thing, IMO, is that when using IEMs is you can hear your playing (and singing, if you do that) with much greater detail. For singers especially, there's a lot less screaming you have to do to hear yourself, which can result in an easier time putting on a great performance.
My preference is to not use them, since I like the sound and feel of moving air, but given the convenience and safety factors (of preserving your hearing), it's easy to justify using them.
One word of caution: as a bass player, finding a good pair is crucial, since many lack the low end frequency range. In the Shure line, IMO, none below the 500 series are worth it for bass-work. The cool thing is, you can find NIB (it's disgusting to use someone else's used ear buds) on e-Bay or elsewhere for a fraction of their list price.