Changing tips might affect seal/sound, but I wouldn't think it would affect other sound conducted through your body.
I think I've made enough posts about the Koss to make me seem like a Koss salesman
Let's see now.. The Porta Pro is what made to make subsequent headphone upgrade. They showed me that there are such things as significantly better than earbuds (I was mainly on Sonys back then, but I have tried the MX500 too - and I do think that if you don't need something inside your ear as a requirement, then the Koss best them). I consider them the "reference" of the ones I'll mention next. Good bass slam, fairly bright, they have been refered to as "Baby Grados". The main reason I bought the KSC-75 were mostly aesthetic (hair).. and the headband has a bad tendency of catching onto the hair when you take them off.
The KSC-75 sound similar enough to the Porta Pro. They definitely stay in place well enough for me to walk, and jogging is fine too for me. However, they don't hold onto your ears tightly and you lose some of the bass compared to the Porta Pro, although it ensures that they are pretty confortable (I have no problem wearing them for hours). Once you press them against your ear, they'll sound more even Porta Pro like (stronger bass). I believe there are ways to bend the clips in such a way that they clip on a tighter. And the Krammer mod (basically making holes to the pad) should improve the KSC-75 further.
The KSC-35 need to be imported I think. A lot of people seem to consider them less confortable to the KSC-75, although the bass is more present because they clip on tighter. There is some debate as to which one is better, I think the concensus is that the KSC-35 sound better at the cost of the confort because it is a tighter clip.
The KSC-50 isn't mentioned much, even though it probably wouln't sound largely different.
The SportaPro is considered the most bassy of this series.
Well, I won't comment much on the last three since I've not heard them. But I am pretty sure they either share the drivers, or use similar ones, so you might want to decide the "format" you want (headband? Porta Pro, clip ons? KSC series, neckband? SportaPro).
There is also a Grado "Streetstyle" in the making. Not much is known about them though.