I get asked this question a lot.... here's a quick answer:
I recomend pioneer, senhieser, and kilpsch and jvc headphones
for regular heaphones JVC FLats are very good cheap 12 dollar headphones and they are at wal-marts.... I have a pair and they are small, but have a little islolation becuase they have a little cup over the part of your ear. They even fit in one of my smaller purses.
stay away from skullcandy they got terrible sound and are very easy to blow. my lil bro has some curcum-aurals from them and they blew out really quick. they grind and sound like crap with bass. he has 2 pairs and one of them are non-blown out but they still sound like crap I gotta turn up the volume all the way to hear anything and it sounds muddy and grindy with HUGE high freq. cutoff. and the low range sounds boomy.
for regular heaphones all around sehnieser, and JVC are good picks.
starter list: IEMs:
Pioneer SE-CL721-H 3.5mm Connector In-Ear DJ Inspired Stereo Headphones
Sennheiser CX 215 3.5mm Connector Ear-Canal Headphone
Klipsch Image S3 3.5mm Connector In-Ear Rebel Red Nosie-Isolating Earphones W/ Oval Ear-tips
starter list: supra-aural (cupping but not covering the whole ear):
Sennheiser HD 219 3.5mm Connector On-Ear Noise Dampening Headphone
JVC HA-S150 FLATS Lightweight Headphones
Sennheiser HD 229 3.5mm Connector On-Ear Versatile-Use Stereo Headphone
Start List: Clip Ons
Sennheiser - Earbud Headphones w/ Volume controls (OMX 180)
JVC HA-EB75 (Black) Sports ear clip headphone