I have kind of small ears, and ear buds always hurt and fell out. I love, LOVE my Shure in-ears (mine are model E3s, I think). They are not cheap, but Amazon usually has a pretty good deal on them. Really comfortable, and they never fall out.
Also, about a year after I got them the right earphone stopped working - I returned them to Shure and they were replaced for free. That's very solid customer service.