I agree with Jasoncordelle, his distinction between an earbud and an IEM is correct. I understand the IEM to be an evolution of the original earbud (though I read somewhere that IEMs were around in the 80’s and probably evolved from the old hearing-aid plug).
Earbuds rely on sitting in the ear itself but they don’t go into the ear canal as such; they rely on the shape of the ear to “clip” the speaker into (for want of a better description), this is how the standard Apple earbuds work, it’s a design that has been around for a very long time now (Sony have been pumping these things out for years).
The biggest change was how the IEM works – it has a silicon tip which actually goes into the ear canal itself, like if you get a pair of ear plugs when you go to the Formula-1 or to a noisy event of some sort. Indeed some tips behave very much like those foam tips (you squeeze them and then put them into the ear canal and they expand into place). These give a very good seal and help block out external noise; really useful in noisy environments such as aircraft cabins, public transport, and office, etc. They also leak less sound to the outside world, while someone with standard Ipod buds will be annoyingly audible to everyone around them using proper sealed IEMs blocks that sound out remarkably; I’m told that my current IEMs (Hippo VB’s) can’t be heard at all by others around me even when I have them up quite loud.
The other benefits are *SUBSTANTIALLY* better sound; the Hippo’s I’m using have truly astonishing bass, it’s scary to think something that little can put that much bass out and yet still be clear. I’d equate them with full-size over-the-ear headphones in that regard; indeed they achieve better and deeper bass than my Jeklin JJ Float 2 ear-speakers. This is all possible from the seal, if you don’t have the seal right (e.g. you’ve not put them in properly or you have the wrong sized tips on for your ears) then the first thing you’ll loose is bass.
All that said IEMs aren’t for everyone – a friend of mine can’t stand them, she just can’t handle the ear-plug effect they have (some people find them disorienting, even I’ve found that lately when getting used to new IEMs as they sat further into my ear canal). Also they’re not for sharing – remember you’ve had them stuck into your ear so you don’t want to go sharing wax, etc.! You can get a basic pair of IEMs quite cheaply nowadays, if you want to start with something that has a fair bit of bass I’m told that the Ultimate Ears MetroFi 170’s (or the 220’s) are supposed to be good entry-level IEMs with decent bass. I’ve not tried them personally but there are plenty of reliable posts to this effect on this site and HeadFi, etc.).
Sure, you might not like them in the end and still prefer over-the-ear types but I can say from experience that it’s worth the effort to investigate it, they’re so much more convenient and have other benefits in terms of sound quality, isolation, etc. (plus the seal means I don’t have to have them up nearly as loudly to hear the music which is a big bonus).