I own the Sonys but I cannot speak for the Klipsch.

The Sonys are extremely comfortable... the way they rest in your ear is actually pretty well thought out. They come with a set of Hybrid tips, and a smaller set of Hybrid tips with foam dampening. The foam is supposed to help sound isolation, but it doesn't really, heh. More below regarding the J cord, but beyond that, they are pretty comfortable.

They sound warm... they are a bassy headphone. There is some sibblance, which can get annoying, but it does tone down after breaking in for a while. I don't think the sibblance ever entirely goes away though. Dynamic range is actually pretty good, but you will notice a "boom tizzy" sort of warm sound with recessed mids. The drivers are rather large, so they are efficient, and they stage well enough for the money. You can glean a bit of depth in the sound, but not stellarly so. 

The cord is not too tangly, however, there is one gripe. It is a J cord, so the Y split is very close to the left ear, and the wire for the right is meant to hang under your chin. This offset design can get annoying unless all you are doing is sitting at a desk. I was using them at work and got used the J cord.

Personally, I feel there are better deals. The JVC FX67s, and even the Marshmallows end up sounding REALLY good for their prices considering how enjoyable they are compared to the Sonys. If I could do it again, I would have saved some money and bought the JVC FX67s for 20-30 dollars.

I have not tried MDR-EX310, but I have some other models of sony's IEMs with similar vertical housing design.  I find them to catch a lot of wind noise, and susceptible to microphonics (cable noise) because it's difficult to wear them over the ear.

Klipsch's s4 form factor, on the other hand, is quite comfortable and small - I am actually able to comfortably wear them swapped (left ear right).  I still need to wear them over the ear to reduce microphonics though.  But many people do find s4's V-shaped sound signature harsh.

My personal favorite IEM is fischer audio eterna v1, with a warm and fun sound.  You could look into it, it's in your price range.
 

http://www.head-fi.org/t/549773/info-on-the-sennheiser-cx-475-485-and-sony-ex310lp

Everything I've read comparing the CX475 to the Klipsch, the Senn comes out on top.

Yashu, and anyone who uses j-cord type earphones:

Put the cord to the right ear behind your neck, not under your chin!  I think that is how they are intended to be used, and it is MUCH more convenient and Much less annoying that way.  Now that I've made that discovery, I've actually come to prefer the j-cord to the standard split.

Just for anyone else deciding between these two models, my strong preference is for the Sonys. 

I'm a noobie, so take this with a grain of salt. 

The sound:

I strongly prefer the sound of the Sonys in spite of their one weakness.  Both are very bass heavy, but I think that the Sonys cover this area a little better.  I feel like the Klipsch just give a lot of volume in this area, whereas the Sony's bass sounds heavy, but really good.  The mids I would give to the s4s, as I think that the sonys kind of short change you here (just barely).  The highs, I would give to the Sony's.  I've seen someone else complain about sibilance in the Sonys, but I just don't hear that, where I definitely do in the S4s. (Sibilance in the S4s is bad enough to annoy me pretty quickly). 

I've recently started listening to music that has some Irish instruments in them.  With the sonys, everything stands out and sounds wonderful.  I can easily pick out one of the guitars and follow it, or the banjo, fiddle, whatever.  I've never experienced that kind of separation.  (like I said, I'm a noobie)  Everything kind of fuzzes together with the S4s. (it's weird, the S4s kind of sound overwhelming with this kind of music.  I can't describe it any better.)

Cables and other noises sources:

Hands down, Sony wins.  Once I understood that the j-cord goes behind the neck, it completely changed my perspective.  The Klipsch cables are awful in my opinion; if I move around with them at all the Highly porous surface of the cables generate a great deal of noise.  (and can even drown out the music)  The Sonys, if worn properly A) don't rub together much because of the j-cord {the cables don't run parallel to eachother} and B) if they do rub together, they are very smooth (as opposed to porous) which reduces noise AND eases detangling.   I can probably start a fire by rubbing the s4 cables together.

One minor problem with the j-cord is that I think it makes it harder to wear the cable over the ear.  This is really only a bummer because I want to try it, as for the most part, I don't think that it is necessary because of the lack of microphonics.

Wind noise IS a minor issue with Sonys.  I don't know if the S4s have the same problem, as I can't bring myself to wear them outside because of the horrible microphonics!

Fit/Comfort:

Maybe this is unfair, but I never got any of the Klipsch tips to fit properly.  They seemed flimsy and cheap.  The Sonys fit instantly with the "default" tip.  Keep in mind that the Sony tips are probably the exact same ones that come with their higher end models like the ex1000, there are just fewer to choose from.  They had a much more substantial feel to them, they weren't flimsy, weren't too firm, they were just right (like mama bear's soup).  I eventually bought some comply foam tips for the S4s.  They are actually really nice, but the fact that the S4s stick better in my ear is not a good thing in my opinion.  It only serves to highlight everything I loathe about them.  I think that I will be picking some up for my Sonys.

I was very disappointed in the S4s.  I actually have Klipsch speakers at home, and I really enjoy them.  I think if I hadn't invested in the Sonys, I would probably enjoy the S4s just because I didn't know any better. 

Remember j-cord behind your neck!

 Earlier tonight, I returned my Klipsch s4's at Best Buy because of a defect (occasional distorting). Other than that, the S4's weren't bad as far as SQ goes, but they weren't incredibly comfortable. They had Sony's MDR-EX310 for the same price like you said. Knowing very little about them I decided, why not, I'll give em a shot. Right out of the box I was blown away by how much better Sony's sound. Especially in the bass department. So much more enjoyable to listen to and comfortable too. And that's after I put in about 20 hours burn-in on the s4's. Convergence summed it up nicely so I won't get into details. But for my taste in music (alternative, dubstep, indie) the MDR-EX310's win hands down

 The S4s sound nice but especially if you have a good Sound Card or even an External like mine the Sony's sing ,I feel like I'm right there and hear voices I never heard etc. etc I also got a pair of Sony EX083 with my MP3 16 GB Sony E465BLK and they sound great with the MP3 player and a couple settings on the MP3 Player .One warning if you never had a J Cord it goes behind your head (probably good for the ladies )but it also gives you a great vertical in ear design and stay in quite well Sony has sizes of the tips both Foam and their others which sound great ,i got My HI FI External Sound Card and if I get my setting right they are breath taking

  As for the S4s they sound good if sony didnt have these 13.5 M( its why they are bigger) I would say S4 in same price range ,There are Sony 501 too but I cant really tell the difference

                                                                            Thank You

                                                                                          rsdno

Ive had 2 pairs of Klipsch s4. I now have the sony mdr ex310lp.  Let me start with the Klipsch.  I bought the S4's based on the cnet review.  First let me say that the sound quality is quite good.  I also had a pair of dr. dre. beats tour, and I prefered the S4.  The problem with the S4 is the build quality.  Both pairs left earbud went out on me.  Now with my earbuds I.ve always been really careful.  I had a $30 pair of earbuds that lasted about a yr in a half before I gave them to my son in perfect working order. Now back to the S4's.  the build is as flimsy as it looks, on both pairs the left ear went out.  After the second pair went bad.  I decided not to go with Klipsch any longer.  Whats the point, no matter how good they sound, if they only last a few months, theres no way they're worth the $80 price tag.  The sony 310's, right out of the box they sounded amazing.  The sound is actually clearer, and more natural sounding then the S4's.  The bass on the sony sounded robust and natural.  After listening to the sony, I feel the Klipsch bass sounds a lil artificial. Now that sound is not an issue in your choice, let's talk about the build of the 310's.  They look really real contructed, at first site the buds look funny.  But when u put them in ur ears, u know why they built them like that. with the S4's when ur putting them in ur ears, even using extreme care, ur going to touch the wire leading into the bud, and with the thin plastic casing, ur probably making contact with the wire connection to the speaker as ur pushing them into the proper position in ur ear.  With the 310's, they're shaped perfectly in the way of when ur putting them in ur ears, theres a place of the buds that's shaped, and ur fingers naturally just grab that area, and u can seat them in ur ear without making any contact with the wires.  Also the wires are protected with a stress relieve rubber coating, that actually looks like its very affective.  The plug.  The S4's first version had an l shaped jack, which I prefer cuz I carry my player in my pocket. In my experience the l shaped plug headphones have lasted longer.  Ppl have diff. opinions on the plug shape. I'm sure u have urs.  Now the newest version of the S4's plug is straight.  The sony 310's plug is L shaped.  So I am very happy with my decision to go with sony.  In my opinion the sony mdr ex310lp, are the far better choice.  To be honest I'm starting to think that cnet reviews are fixed.  They haven't even reviewed the sony earbuds, and they have been out for atleast 6mths.  Hope this was helpful.  I went thru a lot too looking for a good set of earbuds.  I use them when I work out, and I need to feel my music, not just hear it.  I thought that I would have to spend $200+ to get a set of earbuds that sound great, stays in ur ear( whups forgot to also let u know that the S4's, I had a hard time keeping them in my ear) and would last, r in sony case, look like they'll last for a while. Now I've only had the Sony's for about a wk now.  But I remembered ur post, when I was searching for reviews on the 310's.  So I thought I give u my 2 cents.  Again hoped it helped.

I just got, as in on Monday, a pair of the Sony earphones based on reviews here and other sites. I have to say that i am immensely impressed with the quality vs. the price i paid. I previously had an older pair of shure e-3 series in ears, and could never find a good fit that was comfortable. With the Sony in ears, i have 2 days in a row worn them at work for 8 hrs straight. The sound quality has been fantastic, which in part i am sure is due to finally having a pair of in ears that fit properly. After 5 or so hours of burn in with a wide variety of musical styles, i found the sound very well rounded. I will freely admit that I prefer a stronger mid range over anything else, but have found the balance in these phones to be more accurate than many phones that i have previously had. I have yet to find any of the music that I listen to that I would not willingly listen to for many hours with the Sony's. I listen to a wide range of music, from choral, to folk, to indie rock, even bluegrass. about the only genre that i do not listen to is rap. I would strongly recommend these as a good choice for a more budget conscious choice. 

I am surprised that you don't find the Sony EX310 much better than the JVC HAFX67. I have the HAFX67, and am not that impressed by it. The HAFX67 is comfortable and sounds okay, however imo it doesn't sound  better than the $8 JVC Riptidz. I am impressed by the Panasonic RP-HJE450. It has very strong bass, and sounds so much better than the HAFX67. I was thinking about buying the Sony EX310, however the Meelectronics M31 or CW31 at around $30 seems like it might sound better than the EX310 based on the reviews I have read.

I  think the $8 JVC Riptidz and the $23 Panasonic RP-HJE450 are great values.

Not having heard the Klipschs, I can offer my opinion on the Sonys. I'd had them as a bang-around kind of IEM for my vita to carry about for a few days. Decided to return them because of the asymmetrical cord, which I don't think I'll ever get used to. However, if you can live with that, they are pretty comfortable to wear over the ear. The sound quality is very good for the price range and microphonics are minimal. It comes with a very decent selection of tips and they are all very comfortable, so its all a matter of finding the right size. Wearing them down, though is a little more uncomfortable and takes a few seconds longer to find the perfect fit. In terms of SQ, they are between the xb series and the ex600. The bass is present, but not overwhelming. Very nice, actually. Not very detailed, but good for the price. Same for the mids. The highs I can't remember much about, but they seemed pretty much inoffensive. Also a nice hard case is included for protection. Amazon has a brilliant return policy and if you talk to a rep and give them a reasonable explanation, they'll let you return without spending on return shipping. Worth a shot; if not, you can easily return.

I'd go for the Sony's. (;

I longboard with mine and haven't had any problems with microphonics or wind noise. They're extremely durable.

J-cord has its pluses and minuses. I didn't like the J-Cord at first, but they grew on me. Still, I think I prefer a Y cable a tiny bit more.