I have Ultimate Ears UE11's and love them.... upgraded from the Shure se530's. and prior the Etymotics (ER-4s).
If you are really geeking out, get a lineout doc and a small headphone amp (i'm a ray samuels fan).
Yes the amp adds bulk, but personally, once i couldn't simply plop the ipod into my shirt pocket, it really didn't matter to me.
Anyway.. good luck...