Well, I'm going to start my journey with the RE262 that was offered me in trade for the ipod touch I was selling. Should be a good indicator of what is possible with IEMs.
As good a place to start as any - they are popular right now so figuring out which direction to move in from there shouldn't be too difficult.
A great place to start out IMO. Depending on your ears, fit can be a bit tricky so make sure you're getting a good seal; I personally like wearing it over the ear w/ biflanges. Also, don't forget to feed it some power to get the most possible out of them.
I've noticed a decent amount of improvement w/ burn-in. I'm at the 50 hr mark, though I've heard 70 hrs is ideal.
+1 for bi-flanges for me. I use gray Meelec M9 "balanced" ones. Wearing them cord-down gets uncomfortable pretty quick and cord-up I don't get a very good seal with singles. They do like a shallower insertion but I have no trouble waring bi-flanges shallowly.