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If you want to splurge a little then take a look at the SoundMagic PL-50, lots of good reviews for it already:
http://www.inearmatters.net/2009/06/review-soundmagic-pl-50.html
My old roommate had some of them, and he was not a fan at all. I didn't think they were bad, particularly for the price, but he ended up getting some jbuds.
I didn't care for the jbuds at all, so it looks like we just had different subjective tastes. Highs on the Sennheiser seemed a bit tinny for me, but not terrible.
I've had the Sennheiser CX300 for a few years and I'm pretty happy with them, they've turned out to be much more durable than I figured they'd be and I like that they don't stick out as much as other IEMs... They are a little boomy or bass heavy but ehh. Just don't get 'em from a re-seller like the link someone posted above, there's a ton of knockoffs out there (these sold for $50+ originally)... You can get genuine ones from Amazon for like $25 so it's worth the extra $10 or so to know they're the real deal.