...is really ace.
I'm talking about ones like
these and
these. They fit really securely (actually into your ear canal rather than resting outside it like traditional ones) and sound bloody fantastic - easily the best sound I've experienced from something so small. I got the first ones I linked to for christmas. They come with interchangeable end bits (which are sort of soft rubber) - small, medium and large. Apparently it's important to get the right size or the bass response sucks, but it's fairly obvious as you can't get them in if they're too big and they just fall out if they're too small.
The only difference between the Sony ones and the JVC ones so far as I can see is that the Sony ones have a sort of "soft" cord that is easier to manage and is less plasticy, but soundwise they should be fairly identical.
I'd recommend them (or other brands using the same approach) to anyone who uses earphones really.