I prefer to use headphones whenever possible, but it is not always practical. In-ears generally result in more fatigue, wax build-up, infections and hearing damage - all mentioned in previous responses. Even worse, they are generally not very accurate and can play hell with a mix.
The only possible exception might be the Etymotic ER-4 range and even these should only be used in situations when it is not practical to use proper studio monitor headphones, such as when stuck at the airport or in a hotel room. They also include a nifty little adapter they supply that allows you to use them when watching an in-flight movie instead of suffering the torture ensured by the crappy ones the airlines supply.
The benefits of the ER-4s over other in-ears:
They offer about +/-40dB isolation, effectively blocking out background noise, which allows you to use them effectively at lower levels.
They are probably the most accurate in-ear on the market, so it is actually possible to use them and not screw up your mix.
They can also double up as monitors for drummers and other musicians that benefit from a bit of isolation, just remember to change the pads between users!