To be honest, the best way to wear earphones is over the ear, for a couple reasons, when you want to listen to someone, you can just pop them out and they hang over your ear so they don't dangle and you have to go looking for them again after the convo, or it might have the chance of getting all tangled up. Second, it reduces microphonics (the sound of the cable when it wiggles around or rubs against something that you can hear through your earphone), you could wear the shure se210 like normal earphones if you want, shure says you can. But it's recommended that you wear them over the ear as there's a lot of up sides to it. The d-jays and s-jays are recommended to wear over the ear too, but you could also wear them straight down instead.
If you find the lows/bass on the Se210's lacking, then you might want to look at the s-jays. the mids and highs aren't as good as the se210, but the bass and low mids are definitely there is you prefer that. the d-jays are on the brighter side and are analytical earphones like the se210. So s-jays, i would also recommend the westone um1 if you get used to the over the ear design. To be honest, at the $100 range, the Westone Um1's are in my opinion, the best earphones you can get. If you don't mind waiting a bit, shure is coming out with a new IEm, called the Se115, which is a drastically improved version of the Se110. it won best of show at CES 2009, and was said the lows are more refined, and powerful.
Hope that helped a bit! and GOod luck!