Personally I use a pair of Shure SE-215-K in-ear monitors with the "Shure CBL-M+-K" cable that includes in-cord mic and volume adjustment. That cord will work with any in-ear monitor in the Shure SE line. I highly recommend this route if you're looking to spend within in the $150 to $500 range.

They are bulky for traveling. I use these at my office, and just use iPhone earbuds for when I'm on the go.

Check out Etymotics.. they have a few. I really like my HF3s.