Have a couple of UE's and although they sound great I'm one of those people who absolutely can't stand anything in my earcanal for any extended periods of time.
In the earbud department options are a bit slimmer atm with all these itchy IEM's, but I've found these very nice:
Sony MDR-E931LP.
Nice build quality with gold-plated connection, rubber cord attachment (the black things on the buds) and an extremely nice assymetrical nylon-texture weaved cord.
Not as good build quality as Sony's old high-end earbuds MDR-E888LP, but just as good sound quality and much lighter in terms of weight. One of the few earbuds where I've felt the assymetrical cord was actually liveable/comfortable (the low weight doesn't make the cord fall out of your ear and the textured cord feels nice and soft against your neck in comparison with those plastic ones - the texture also gives some resistance to it, making it less slippery).
AKG K314P.
Dirt cheap with a crisp and clean sound. Very neutral, precise and detailed just as the Sonys.
I prefer the Sony ones due to them being much lighter (weighs virtually nothing) and having that soft, textured cord - but as far as sound goes you couldn't do much better when it comes to earbuds imo. Much better than the uncomfortable (albeit flashy) Audio-Technica ATH-EC700 "audiophile" choice.
Compare these two really cheap investments to any standard earbuds and you'll find them having a lot more details to their sound in a way you could easily appreciate without being all neurotic about it. Really does make a difference and is so cheap there's no reason not to get either of them.