If you are looking for a high-quality in-ear monitor, I can't recommend Etymotic products highly enough (with the caveat that I have their regular headphones and not the hands-free kit). Ordinary Sennheiser earbud will not, in my opinion, compare.
Etymotic Research, Inc. - Headsets
As you'll see, they make three models ranging from $99 to $179.
As noted above, I own a set of their top-end headphone models, the ER4-S, but expect that their headsets will be of similar quality. They are are incredibly accurate and revealing but, as with all in-ear monitors, lack earth-thumping bass, if that's your bag. Still, once you get them properly seated in your ears - they need to go very deep, which may be a bit uncomfortable until you get used to it - the bass is more than adequate for most music. The added plus for pushing them deep is excellent noise isolation - you will not be able to hear someone talking to you with music on.
The best thing about the Etymotics, however, is the customer service. I bought my headphones in or around 2002. Over the years, I had various misadventures with them, including having them fall out of my pocket in the driveway during a rainstorm, only to find them the next day - they kept on ticking. In a nutshell, I rode them hard and put them away wet. Finally, sometime during 2009, I broke one of the plastic pieces that houses the driver. I sent it back to Etymotic, fully expecting them to tell me it was out of warranty and quote me some outrageous price. instead, they replaced not only the broken driver, but also the other one - they wanted to be sure the drivers were properly matched. If memory serves they didn't even charge me return shipping. Surfing some of the audiophile forums, I found that others had identical experiences. Simply a top-notch company.
Anyway, other options, as well as reviews, can be found here (Headroom is also a great company that sells nothing but headphones and headphone amplifiers and accessories):
Best Headset Headphones - 2010 Gear Guide | HeadRoom Audio