I have a pair of the Shure headphones that fit in your ear....I think there are pros and cons:
Cons:
1. Hard to install/insert...The first time you go to "wear" them it is kind of like sticking a golf tee in your ear. I played around with the various sizes (compared to my ear canals, the sizes range from large to gi-normous) and ended up with the foam inserts (like those disposable ear plugs). It takes some time and screwing around to get them "inserted" just right.
2. Because of the time and hassle required to "put them on", I don't wear them very much and it's annoying at work because I have to keep taking one of them out when somebody wants to talk to me.
3. If I chew or move around very much, they fall out.
4. Unless they are "way in" the bass is non-existent.
5. They aren't comfortable to wear for longer than about 1 hour at a time.
6. The foam will need replacing regularly.
Pros
1. Properly inserted, they sound pretty good and keep out other noises effectively.
Because of the above, I end up using my crappy iPod headphones for most of my personal iPod listening...they are just easier to deal with...YMMV.