I picked up some JVC Marshmallow earbuds this last weekend at Best Buy. About $17. I wear headphones at work for 9 hours a day. I can't usually wear the in-ear ones because they just aggravate my ear and start to really hurt. At work I wear some of those outer-ear ones that wrap around behind your head. They're not the greatest but I can wear em all day and they don't kill my ears.
I wanted a pair for riding long distances, and my gf told me I should try out the Marshmallow ones that conform to your ear like ear plugs. I got the JVCs, and wore them on a 2 hour ride this last weekend. They work awesome. I wear a full face and they fit great. Don't agitate my ears, and feel comfortable even as I'm slipping on my helmet.
I'm planning on getting a half shell soon, and plan on wearing a bandana to 1) cut the wind noise, and 2) to hold my earphones in place.
http://av.jvc.com/product.jsp?modelId=MODL028859&pathId=162&page=1&styleId=B