I've got to agree with the Sennhieser reccomendations above.
I personally have been using the IE4's for about 3 years, and an almost identical consumer model for the 3 years before that. And they are simply the most unobtrusive headphones out there imo.
You really don't notice them at all, there is no pressure build up within the ear, unlike some other isolation in ears that I've tried. And the isolation is great too, you can't hear the dance shit the gym likes to play!