I've had a couple of in-ear phones, mostly for monitoring in the studio. One huge issue with most of them is cable noise and that you hear each step when you walk. Unless you really need noice cancelling, I can really recommend the sennheiser px100 - the open back one. If you go for in-ear, and you're moving around, then I would look for something with a loose fit, like the ones sony makes. I had a pair of them and they were very impressive for the price. I don't remember the model, but they're probably out of production anyway.
Anyway, the px100 are really good quality - I have them for about four years now and they sound better then some much more expensive studio grade full-sized open headphones I've used.
The best headphones I've heard are the Sennhaiser HD650 - but they are only for stationary use.
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