I'm new to IEMs, but recently picked up a pair of ME Electonics M11+ to use with a Sansa Fuze player. I can get a good seal with either the small or medium sized single flange tips. The bi-flanges work almost as well. I wear the cable over my ear with all of them.
But I don't find any of them very comfortable. The smalls are probably best, but the M11s practically disappear inside my head when using them. The mediums don't go in as far but it feels like there's a lot more pressure on the ear canal and I can only wear them comfortably for about 30 minutes at a time. The bi-flanges seal, but fall out more easily and are even less comfortable than the medium sized single flange.
So I was considering trying out either the Comply foam tips or Sony hybrids. Offhand, I don't see what would make the Sony's more comfortable, as they appear to also be silicon tips. I've read that foam tips can drastically alter the sound of a given pair of IEMs, and I don't know that they'd be any more comfortable.