I'm using "Koss 'The Plug' In-Ear Headphones (Black)" ; Yeah sure, they look and are big but the sound is amazing, also they are a tight fit: the foam seals off the outside world (I never noticed the crying baby next to me on the subway... no it was not my child ) .
Negative side: the build quality may not be the best but since the price is not that high (did I mention already that the sound is superb?) I bought some more over the years.