for "ear buds" I bought custom fit SE-215's from this place:
http://www.inearcentral.com/
 
I used the mold package Rob sent to me to make molds of my ears.  They take a while for them to turn around (mine took about 10 weeks), but they were well worth it.  I only use them for live playing with our Aviom system.
 
normal "ear buds" will not stay in my ears at all.  they slip out very quickly.

ampfixer
I had no idea there were so many high end options. Thanks for sharing.
 
Do most people mix for ear buds as part of the production process?

I don't know about most people, but like Bapu, I test out a mix on everything I can get my ears into.
 
Regards,
Dan

I'm a receint convert to in ears for live band use. I paid $99 CAN. for the the Shure SE 215's. 
They are only the entry level buds but I'm impressed with the hi fidelity for such a tiny gizmo. 
They come with a bunch of different sized rubber ear plugs so you can find the size that is comfortable with a little trial and error. 
While I find that the sound is excellent for monitoring purposes I don't find them that great for just music playback. They are mostly midrange. You can hear the bass but it's certainly not the device for checking low end.
For vocals and guitars while playing on a loud stage they cut through perfectly and with the added benifit of blocking out the stage volume. So the result is less listening fatique and hearing damage. We are finding that it has improved vocal pitch and the balacing of harmonies for the band.
The days of fussing with floor wedges is history.