I will swear by my Shure E530s. The details are great, the sound is warm and there's no distortion at the higher volumes.

The only thing I'm missing with IEMs is the soundstage...and it's something I really miss. Full headphones aren't a realistic, however, for someone who travels around on the subways as much as I do.
IEMs provide almost complete isolation while they're on and they prevent me from daydreaming and getting hit by cars (as strange as that may sound.)

I travel by subway frequently, and never have considered the iGrados to be impractically bulky. Their back-of-the-neck design doesn't even interfere with a hat. And they keep my ears warm in the winter.:D