I've been there and done that, i've gone from Sony stuff ranging from £25 to £50 (in ear seal), to Etyomic stuff costing £80, and i also have Sennheiser open back full size headphones that retails for £300. I use standard Apple headphones, why?
Because any sound quality difference is lost when you are out, the train's engine, the traffic, the vibration when you are walking. If you get sealed headphones I have found myself missing annoucements on the trainstations, or people calling me, and you need to pay double attention with them on as you can't hear the cars. At least with the Apply phones you can still hear the outside noise.