In the pricey range, here's some in-ear headphones made by a hearing aid/custom earplugs company.

http://www.etymotic.com/musicians/more6.asp
http://www.etymotic.com/product_list/product_list_product.asp?audience_category_id=2&product_type_id=2&product_number=ER-4S

And down at the bottom, here's a little first person commentary on them.

http://www.penny-arcade.com/hookup_10.php3

--Nathan