I use Shure E2's, which are small buds that go pretty deep into the ear canal. They do an excellent job of sealing off the canal to outside noise and offer excellent depth of sound, so I like them a lot. I took them with me to Japan this summer, and after spending two and a half months bumbing around the country on the rail system, let me tell you: having headphones this small with sound this great, for less than $100, is a godsent. Plus, they stay in your ears very well, so they're good for exercising...if that's your thing.