I think EFN was a bit overly excited about his lunchbox and kitchen sink rigs. All of them are all-out rigs that will cost you way over 400 quid.
First of all, is 400 quid the absolute maximum? Do you already have some portable audio player? The reason I ask is because at your price range, you're very close to being able to purchase a pair of top-end custom moulded IEMs, yet that would take up at least the whole of your budget.
If the answer to the first question is no and you're interested in custom IEMs, then please do a search on the following currently available IEMs:
Ultimate Ears UE10Pro
~500 quid plus import duties*, impressions and shipping of impressions. Order direct from ultimateears.com and not the UK dealers.
two-way, triple driver, hard acrylic mould
Ultimate Ears UE5c
~275 quid plus import duties*, impressions and shipping of impressions. Order direct from ultimateears.com and not the UK dealers.
two-way, dual driver, hard acrylic mould
Westone ES2
~500 quid (delivery incl.) plus impressions and shipping of impressions. Order from variphone.com the European Westone dealer. Alternatively, have someone order the ES2 (~325 quid plus import duties*, impressions and shipping of impressions) for you in the US since the Westone US will not deal with European customers (I've tried!).
two-way, dual driver, hard acrylic mould
ACS T2
~499 quid (all inclusive). Order from hearingprotection.co.uk
two-way, dual driver, soft silicone mould
Sensaphonics 2X-S
~375 quid plus import duties*, impressions and shipping of impressions. Order from sensaphonics.com
two-way, dual driver, soft silicone mould
Other potential candidates that will be entering the custom IEM stage are the UE11 ($1000) and the Westone Custom 3 (price unknown). If the prices seem a bit intimidating, than perhaps you should consider a universal IEM. There are numerous to choose from. My personal rule of thumb is to buy the best IEM and source you can afford, then spend the rest on amp, cable (in that order). No matter how good the amp/cable is, it is the source and IEM that makes the most difference.
Here are your top-tier universal IEMs:
Shure E500/SE530 $399
two-way, triple driver
Westone 3 $399
three-way, triple driver
Ultimate Ears Triple-Fi 10 Pro $399
two-way, triple driver
Etymotic ER4P/S $299
one-way, single driver
I quote retail prices for them all, but most of them can be had for significantly less (new) if you search hard enough (Head-Fi sponsor vendors, eBay, other vendors, etc...) eg ER4P for 90 quid, E500 for 170 quid. If you don't mind buying used, the prices are even lower. Use the Head-Fi FS forums. Apart from the Westone 3, which has yet to actually reach the hands of customers, the other three have each received numerous glowing reviews which you will easily be able to find using the search tool.
I'll leave the choice of DAP for others to comment on because I'm an Apple fanboy
I love their DAPs because they're gorgeous and so easy to use. Sound quality doesn't suck either (especially when you use the line-out into an amp or do a Red Wine iMod). Woops! See, I'm biased.
Last but not least, amping. Don't bother about amping. 'Nuff said. Spend money on DAP and IEMs first and worry about amping later when you have spare cash.
*[size=xx-small]The import duty rates are variable (can be 0% for certain goods, but I don't think it's 0% for headphones), but expect to pay at least 17.5% VAT calculated from [value + shipping + import duty]. There are ways around it, but I'd rather not discuss them in public.[/size]