I am very very into my music and sound quility but havn't really tried many. I love in ear ones, you need a couple of weeks of use for them to really work and fit your ears, the bass is loads better than others and the sound dosn't leak out so others can't hear your music.
I have had 2 pairs of Sennheiser CX300's, i use them all the time and am not very carefuly so first pair broke (after nearly 2 years). I now have CX500's, they are great. The problem is I wouldn't buy them on the amazon marketplace or ebay as the market is flooded with fakes, so be careful with that. I'm sure its the same with all headphones but cx300's are terrible for it.
One problem of in ear ones down the gym is that if doing cardo for a long time and you sweat a lot then can loose grip in your ear and fall out, only really effects me on a 40 min run, depends how much you sweat :)
I alos have some PX100 headphones, i'm not as impressed with these. The sound leaks out so other can hear a really tinny version of your music. the sound is good but the outside noise always just ruiens the music for me. In a quite room there good (gameing) but apart from that no.
My dad owns a larger pair of wireless Sennheisers but I don't really like them, sound is good but not great.
We're a bit of a Sennheiser (10 pairs between 4 of us) so can't talk about others really apart from the fact brother has some ultimate ears and says there good.