i usually use over the ear headphones (cheap ones though), but i do break out the apple earbuds from time to time when the situation calls for it. i don't use them often as earbuds hurt my ears after a while.
Creative EP-630. They've lasted longer than any pair of IEMs I've ever had (bought them in September, still working five months later). When they break down, I'm definitely getting another pair.
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I have a pair of Shure E2C's. Not an audiophile in the slightest, but the apple buds refuse to stay in my ears and the Sony replacements I bought croaked after couple of months. Shure's have been great though.
I know in-ear headphones are convenient but the inadequacy of the bass is compensated for by jamming them in your ear canal. Of course, beauty is in the ear of the beholder.
My compromise solution is the Sennheiser PX200 collapsible headphones-- only $45 -- http://www.jr.com/JRProductPage.process?Product=3948417 --I have had them for over a year. They sound great and they fold up to roughly 50 times the size of my Shuffle.
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I use the headset that came with my iPhone, and a pair of old style buds with my ipod. Ive always found them comfortable and the sound quality plenty adequate.