Is there any reason many people like these kinds of listening devices? I'm sure they are really comfortable but I like my over the ear headphones quite a bit. Maybe I'll check a pair of these out for extra fine listening.
1. Like everyone else is saying, isolation. As well as the low profile nature of iem's over huge headphones lumbering around your head and making you perspire on hazy, hot and humid days).
2. Sound quality is superb with my se530's and I'm sure the more affordable iem's are rock solid (I also used Shure's e2c's for 2+years before switching to the se530's and I generally liked the e2c's).
3. I have yet to find a headphone that's ~$500 that blows my se530's away. The imaging and sound stage can be incredible with the right source (read: rio karma). The only pair of headphones that I own that beat them hands down are my Sennheiser HE60's, which are electrostatic and typically sell for 3x the price tag of the se530's on head-fi.
Synergy plays an important part with iem's. I have a neighbor who used the se530's with his ipod and found they were a bit lackluster (shure iem's are known for their rolled off high frequency response) in comparison to a pair of ety 4's which he raved about (ety's are known to be more flat or neutral sounding in comparison to shure's). I like my shures because my rio karma has a hell of a dynamic eq system that really allows me to shape the sound the way I think it should sound (ie. fixing the rolled off treble without making it sound exaggerated). Anyone that has used a rio karma knows what I'm talking about.
To the OP: I'm pretty sure that headphone.com has a 30 return policy, so I think they are your best bet until you find a iem that suits your needs.