I use Shure SE215, they are IEMs. They are good cos I can still wear my helmet and the cable goes behind my head, so it does not go in the way.
I use them for recreational bike riding (not in traffic). Its so much nicer to enjoy some uplifting music while I cycle.
It does worry me that I can't hear if something is going wrong with my bike (ie brakes, sounds of things breaking). So once in a while I take them off to test that everything works ok.
EDIT: Mike from Headphonia recommended these to me:
Edited by navii - 1/5/12 at 12:49pm