My experience: foam tips are indeed very comfortable. However, tri-flange tips give better sound, although they can be uncomfortable over time. But, I have also found that you can trim the tri-flange tips so that they are comfortable. With mine, I snipped off a bit of the tube end so that the tri-flanges would be closer to the IEM body. That made it possible to insert them into my ears w/o having to go in quite so deep and still have the IEM body flush against my ear. I find they get uncomfortable when inserted too deep and this trimming fixed that. This is with Shure tri-flanges, btw.
Edit: regarding silicon tips: I used those with E2Cs for a long time and liked them. But, they did tend to slip out on occasions. They seemed to stay in place best if my ear was very clean and had little wax in the opening. But, if there was wax or sweat to "lube" the tips, they tended to pop back out after a while.