I've got wierd ear canals and never get a good seal with all those in ear types. I wish I could. Good thing though....I'd probably wind up with $500 worth of in-ear 'phones....just what I need.
If you want a good cheap pair of ear-bud type, try the Sennheiser mx-400 or mx-500. Less than $20, I think and miles better than the buds that come with the ipod.
And if you don't mind looking like a WWII radio operator, get some Grado SR-60's or SR-80's. Best sounding phones under $100 bucks by far. I love 'em. But they are a bit clunky, so i almost always use my PX-100's. They fold up nicely too so can fit in a coat pocket or wherever.