When you grow weary of the pedestrian sound from "ear bud" headphones, the in-ear models might be your next step up. Here's a few tips on making your music sound great inside your ear canals. Audiophile Steve Guttenberg, who had no role whatsoever in Police Academy, suggests creating a very specific, personalised fit for the pointy headphones. One ear canal may be bigger or differently shaped than its companion, so try all the fitting pieces in each ear. You generally want to gently push the tips until you hear external noise soften. If that doesn't work, try the "lobe tug":
Before you push the headphone in, gently tug your earlobe down and/or out, then push the headphone in, then release the lobe. I use this technique with my Monster Turbine headphones. Again, experiment with the tugging direction, as it might take a few tries before you get it right.
There's an alternate "ear pull" technique, and many more fitting specifics, in Guttenberg's guide linked below. How have you gotten the best in-ear headphone fit? What brand are you rocking, or which do you dream of getting? Air your audiophile aspirations in the comments.