I use Sony Ex71's. Feels weird at first if your not used to those types of in-ear phones, but after it fades, it feels rubbish to use the ordinary types.
Found them on argos for £8.99, they have a little bass tube thing in them which helps and they fit snuiggly into my ears without being uncomfortable like alot of other in-ear earphones. Never come off due to them hooking round your ear either, and I've given them a fair bit of abuse and they work brilliantly still.
But does it block out other noise?
they do for me, but then they just happen to fit snuggly in my ears. I've had the pricey noise cancellation ones and they hardly work - just listen to your music louder!
I have a set of KOSS earbuds! They have a foam memory fitting so they fit in your ear and expand to block out noise, perfect for the gym......definetely not for walking down the street though......WHAT CAR BEEPING????? BANG!!!!!!!
i use a set of cheapo wrap around the head ones, i got tried of those bud earphones falling out when jogging or whatever. I tried all inc some rather nice looking B&O A8, but wasnt impressed with fit or sound. depending on budget try shure E2C with noice canceling feature, or beyerdynamic DTX-50 (these are wrap around but fit really well).
I've got Sennheiser CX300s, their excellent for blocking out noise, have good base levels and only cost £12.99.
I think those are the brand my friend recommended, I never did get round to buying some for my ipod. I need better ones that block outside noise out, the racket from the Underground is horrendous!