I'm looking for good in-ear headphones, now that I've broke the ones that came with my PSP and ZV:M. The ones that I came across that looked really nice were the Shure E4C.
They also come with these cool buds, to suit your fit.
There are two versions of these:
Shure E4C-G (Gaming Edition) - £100
Shure E4C-N - £120
I don't know the difference, other than the gaming edition costs less that the original.
Oh yeah, you can check out the CNET review here.