"On the road" to me means when I travel. Living where I do, I'm in and out of airports all the time. Normally, I take my Headroom travel bag with me so that means I can carry 3-4 sets of IEMs or earclip choices with me!
Usually this means the UE 10-Pro (best sound and comfort), the Shure E500 (best isolation, lots of choices in terms of tips, plus the added benefit of the PTH device), Audio Technica EW9 (for a relaxed presentation for late at night listening sessions in hotel rooms, or to "share" with any travelling companions, such as women who don't want to wedge the E500's into their ear canals), and the V-Moda Vibes (for a light alternative).
I normally also carry 2 iPods (a 60 gig jobbie for music and a 4 gig Nano for bible study... I tend to use the 60 gig more often than not) and 2 PCDP's (to give more choices, again for trevelling companions more than me, but also to check out new CDs that have arrived at my Florida shipping address). On top of that, I'll usually have at least 3-4 portable amps (usually the Hornet, Tomahawk, Xin SM4 and JMT-built META 42, among others) and a variety of mini to mini cables and dock-out connectors, as well as a stock of rechargeable batteries, Qtips, an opamp tweezer, and any number of other acessories.
Why all of this? Other than when I travel, I don't really do much portable listening so I like to take advantage of the opportunity to do comparisons and to share my toys with others that I bump into. That, and I simply like to have listening choices. Thank goodness I'm not into digital cameras or camcorders; one of each is enough for me!