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Do you just not like having these earphones inside your ear or are you looking for other similar in-ear earphones? I know some people don't like the feeling of having these things inside their ears. I've seen some headphones that are designed for portability, so they can be folded and should be able to fit inside your pocket. But most of these are only available in Asia.
I started out using a pair of Ety ER-4S with a portable amp with my Cowon iAudio X5. That turned out to be a pain in the rear trying to juggle with all the pieces at the airports. I ended up ditching the amp and connect the Etys straight to the unit. But that sounded bright, and bass shy. I've since replaced the Etys with a pair of Shure SE530. They work fairly well, and sound fairly good without using a separate amp.
The Etymotics and the Shures are certainly going to be the best, but they are pricey.
I have the Sennheiser MX75 Sport phones, which have a unique "twist to fit" design so they remain tightly fitted in your ears and have very good sound. List is $50, but they are available on the web for less than $40.
The pads can be changed to fit your ear.
Again, probably not the quality of sound as the Etymotics or the Shures, but a darn good phone at the price.
Since you didn't include the word affordable...
Ultimate Ears UE-11
expensive but well worth it.. to me.. much better sounding than the Sure SE530.
It is an investment. But hey, you're worth it! U definitely won't regret it. (i've also had the ER-4P, SE500, and UE-5, as well as Sennheiser sd-600, and Stax electrostats)
I had the same reaction when I first got an ipod. My first pair of upgrade phones were the Shure e3C which sounded good but never were quite comfortable no matter which eartips I used. I recently replaced them with Klipsch Custom 1's which are more comfortable because of the oval-shaped tips. The Klipsch bass is not as deep as the Shure's, but the comfort is worth the change.
One nice thing about the Shure IEMs is that the cord goes up and around the back of your ear (I'm sure some other brands do this too). Once you put them in they stay and you don't get a lot of noise when the cord is bumped. I had the Etys and they sounded really good but when you bumped the cord (which is a lot if you use them when you are moving around) it made a lot of noise you could hear and was distracting. The Shures don't do that. Also the seal would come loose on the Etys as well requiring pushing them back in often.
My favorites have been Westone UM2's (with the Shure "black foamie" tips). The Westone family sound seems to be head and shoulders more natural and refined than the earphones of other companies, IMHO.
Now the Westone 3 has just been released in the past couple of weeks. WOW.
I've got a pair of Westone 3's at home and they are just a bit more neutral top to bottom, more extended in the treble while still refined, and more detailed in the bass while still very deep in bass.
Overall it seems a very noticeable incremental improvement top to bottom, while retaining the very natural and musical family sound.
I've tried almost everything out there and I think that for the audiophile who is sensitive to natural and refined sound, the Westone 3 or UM2 are best.
Also Westone seems to make the most comfortable in-ear earphones, which is a MAJOR issue for many people with these types of phones.
I was in your exact situation about 6 months ago. Couldn't keep those damn stock Apple 'phones in my ears more than 5 minutes before the pain outweighed the music, which itself added to the pain as the sound quality was awful (goes without saying). After doing a little research the Sennheiser CX500 seemed to get good reviews, and after finding them online at B&H Photo for 60 bucks I took the plunge. I haven't compared them to anything else, but I can keep these things in my ears for hours with no discomfort and the sound is nicely balanced and refined. A huge step up from the stock iPod headphones in every way. They also have a neat little slider volume control on the cord that sometimes comes in handy when it's not convenient to grab the iPod and work the wheel.
Best of luck.