These I recommend highly:
http://www.themp3company.co.uk/product/ultimate-ears-ultimate-ears-superfi-3-studio-earphones-black–best-earphones.php
These are £49.95, and are excellent, I use UE phones, and I have three different models. The SuperFi 3 Studios aren’t iPhone capable out of the box, but, and this is a big reason why I like UE’s, or these and other more expensive models, the cables unplug and can be replaced, either with regular cables for £20, or iPhone compatible ones for £22ish. UE recommend you loop the cables over the top of your ears and down the back, which is how I wear mine. You can also get sets of double flanged eartips that fit a little deeper into the ear, and if you want to really push the boat out, you can get custom fit eartips made up. I wear mine, (Actually SuperFi 5vi’s, MetroFi 220’s and TripleFi 10 Pro with iPhone leads swapped for the standard ones), all day, as I use them as hearing protection when using noisy machinery, and their really comfortable. I’ve used Sennheiser, Etymotic ER6i’s and Denon, and these sound better than the Sennheisers and Etymotics, and the Denons broke.