I've got a pair of Etymotic Research ER6i earphones as well as a pair of Shure E4c earphones. The Shure's are my favorite, but they do have a few shortcomings- the wires that they use on them are super heavy duty, so they weigh quite a bit, and the plastic coating on the wires gets really rigid when the temperature drops below about 40 degrees, and nearly solid at about 20 degrees, which makes them useless for cold weather use. They sound incredible though! The ER6i's are not on the same level as the Shure's in terms of sound quality, but they still sound great, and can be had for $50-60. I generally end up using the ER6i's most often, mainly due to their light weight. Both brands come with a variety of different ear inserts, so you can customize them to fit snugly and comfortably.
Chad