Most is made of some type of acrylic material, but there are more expensive all silicon build. Westone elite series has vinyl tips for enhanced comfort, so I heard. It's already mentioned that proper fit is everything when it comes to comfort. Most places has 30-90 day fit warranty to do take advantage of that service even though it may mean another 1-3 weeks out of not having them.
If you want to get an ideal of the process, fit, and comfort, the cheapest route it to reshell a univeral BA IEM. That way, if you later find out that it's not ideal or what you're after, you'll take a much less hit on the resale value if you decide to sell and move on.
