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.