There is a lot to think about when considering going the IEM route.
You will first need to choose whether you are going to get universal fit ears buds (such as those in the Shure line) or custom molded IEMs. There are thankfully quite a few makers nowadays. I chose 1964 Ears because they seem to be the best bang for the buck but there are others such as Ultimate Ears, JH Audio, Westone, Alien Ears, and others. There are single, dual, triple, quad and upwards driver models to choose from and to suit your budget.
You will then need to consider whether you will be using a wireless system or a wired set up. Both have their advantages, with wired set ups being definitely cheaper.
You ought to commit yourself to doing a ton of research here and on the web. I spent about 3 weeks trolling the web before I made my mind up.
You can also see some reviews on the HeadFi which has contributions from people who are nuts about IEM. Good luck