DARKHAVEN's right, of course. I'm making gross generalizations, as assuming that the terms "canalphone" and "IEM" unproblematically refer to two discrete categories of sound-producing-thingamabobs-that-you-stick-in-your-ear. That said, I think the simplifications and generalizations I've made are helpful for the purposes at hand.
So, the OP doesn't want to spend too much money (e.g., replacements, etc.) and doesn't want it stolen. To my mind, then, canalphones are probably the safe option. Not everyone likes IEMs (i.e., thingamabobs that go deep and require head-tilting, jaw-opening action to insert), and unless he can try them out first, he might regret that decision. Also, they raise the possibility of filters and foam tips, both of which are recurring costs. Also, they look fancy (at least to people I hang out with). And I think they're some pretty good canalphones available (read: the Denon AH-Cs) for good prices.
So, I concede the point that simplifications and generalizations are not always helpful, but I think they are in this case. *sigh* I blame the fact that I'm a scientists...it's all about the generalizations here.
P.S. I think replacement filters are a feature rather than a bug too, but I don't think those kinds of IEMs will be suitable for the OP.