I wore my Grados on a family trip across the country. Strike that. I alternated my Grados on a family trip across the country. I brought along my GS-1000s and my RS-1s. In both cases, that wonderful Grado sound was destroyed by the rumbling din of the high-speed drive. It was that experience that forced me to break down and buy an IEM. But I couldn't decide which, as so much of the reviews come off as, "I own this pair and like them so they must be better than the other pairs I didn't buy."
Unable to hear an IEM through the reviews, I bought the ones I heard the best buzz about, intent on writing a review and then selling off all but the sole survivor. I bought the Etymotics Er4p, the Shure SE530, the UE Triple Fi 10 Pro and two Westone products: the W3 and the UM3X. About the time I was ready to pack it up, people started buzzing about the Phonak Audeo PFE, so I bought that one and gave it a listen.
Hands down, my favorite was the UM3X, which had the best of both worlds: great bass and amazing balance. I'm not a basshead. Most of my music is more chord and vocal oriented, but I like a full presentation. The W3 is too bassy for my tastes but the UM3X is awesome. Another good choice, thought not as engaging to me, is the SE530. I also think the Triple Fi is getting short shrift because of the recent release of the UE2, the latter being a custom fit but with the drivers off an SuperFi 5. I can't comment on the glories of the custom fit, but the Triple Fi is a very nice IEM, though its ergonomics are inferior to that of the Westones and the SE530.
I never connected well with the Er4p, which forced me to jam its tips so far up my ear I thought they were going to come out the other side - and was still light on bass. They are, however, very clear in their presentation. A better choice, in my opinion, is the PFE, a single-armature Swiss IEM that oozes sonic clarity for only $139. I haven't heard the Westone UM1, so I don't know which of these is the better, but the PFE is so good, it has caused people to lose their minds and compare it to the big boys at the top.
The PFE has better bass than the Er4p, though not nearly as good as its upper-tier competition. When I ran it through my M^3, the bass came out strong (which means that it's probably an impedence issue in working with unamped iPods and the like).
If you've got the coin, I suggest the UM3X. If you're looking for a bargain, I suggest the PFE.