I've tried and returned the Klipsch S4 - the sound was initially seductive but after a while grew tiresome with their lack of highs and muddy bass. Then I tried the Sol Republic Amps and it was like listening through a blanket - although they had better highs than the Klipsch. I own Etymotic ER-6i's and like them to a point, but they are uncomfortable in that you have to really insert them deep for a good seal. I also feel that the music sounds thin and find myself continually re-adjusting them thinking that the lack of bass is due to a poor seal (when it's not). My take on the HF5 is that they are similar to the ER-6i but with more detail.
My most recent purchase was the Sony MDREX310LP and I really like them! Bass is a little muddy but not overpowering, highs are clear and detailed and when Imelda May sings "Knock 1, 2, 3 on the door" they make you turn around and look for her singing in your ear.
Some others I've tried and dismissed were the Sennheiser 300-II which are just awful - regardless of what I've read, the Skullcandy Titans which are very colored and unenjoyable, and the Sony MDR-57 which were OK but not worth the $40 I paid.