I just bought a pair of these Sennheiser in-ear headphones. They're one of these deep ear canal designs, with various sizes of soft rubber insert. Instead of sitting in the outer ear, they go right into the ear canal.
I've had many of the crappy ear buds before, but they always either hurt after a while or fall out -- often one side hurting, the other side constantly falling out. So these are quite a revelation.
The soft rubber is very comfortable and blocks out quite a bit of the ambient noise around you. The sound is nothing short of brilliant, particularly the bass. Very clear and punchy. Goes very nicely with my shiny new mp3 player on our travels.