For close listening on my iPhone, a switch between a pair of Shures (excellent for airplanes) and a set of Sennheisers (good for walking the dog). Both are slightly different but offer far superior sound when compared to standard ear buds.
Now Sennheiser wants everyone to know that they're launching a new pair of in-head buds called the IE800. Featuring "balanced-armature multi-drivers"--whatever that means--these things have a retail price of $1,000 USD.
As far as I can tell, these are the most expensive ear buds in the world.