I may get lynched for this... but I am really impressed by the latest version of Apple in ear earphones (the dual driver version, not the pants version before that). I bought them not expecting much, but I am very impressed indeed with the fit, the sound quality and how comfortable they are to wear for long periods.
I have been through quite a few pairs of headphones, and for me personally this is what I would go for (they are fairly cheap too, around £60ish).