I love my IE30s and IE 40s made by Ultimate Ears (distributed by M-audio).
Really cool design because they use armature drivers instead of traditional drivers. My IE40s are nearly as accurate (frequency wise) as my Beyerdynamics. I can't say that sound quite as good spatially, but you'll lose that with any in-ear solution.
The IE30s cost US$250, and the IE40s cost US$450. For a bit of a cheaper solution with near the same quality, they also make IE10s and IE20s for $100 and $200. Extremely comfortable, replaceable cable, changeable ear gels / foams, and great sound!
alt text http://images.guitarcenter.com/products/optionlarge/MAudio/448245.jpg
Good stuff. I had an old pair of Shures that I never liked. Very uncomfortable. Sounded decent. I've heard good things about the Klipsche in-ears, but never listened to them. The best, in my book, are the custom fitted ones. You can go through Ultimate Ears to get custom molded in-ears. Crazy nice stuff. Also crazy expensive...
So, all that being said, I'd go with the M-Audio IE-20xb for you. US$200, very comfortable, and sounds amazing...