Seems like everyone wants one for this Christmas and the price spread has never been wider. Like sunglasses, these are hugely marked up item, so you can literally pay from $10 to$10,000. Wirecutter has a pretty good handle on it. (personally I've always like the Etymotic ER-4i and ER-6, but that's another story). Headroom.com is a great resource for reviews.

• In ear. These are actually wonderful if they fit in your ear. Monoprice makes a $30 set called the 8320 that is comparable to$100 ones elsewhere.
• On the ear closed. If you want to be cool like Dr. Dre, then the Audio Technica ATH-50  at $110 seems like the ones to get. Reasonable cost. We have a similar model that is noise cancelling. Amazingly good sound. The ATH-50S is the straight cable vs. coiled version. The Shure SRH440 is just as highly rated at$87.
• On the ear open. The Grado SR 60i at $50 is the budget choice and sounds very good. Superlux HD-660B seems like it has a very linear response. It doesn't block ambient sound though but at$50 like the Grado, it's hard to beat.