You mean like IEMs? Try the Altec-Lansing iM716. They go in your ear canal and seal it up, so you basically can't hear anything else besides the music. They'll run you around $100, but they were cheaper not too long ago ($70 at Amazon). They're detailed and pretty well rounded, and sound great for the money. They do sound kind of cold, though, so if you want a real lively sound, the iM716 is probably not for you. They actually use a driver very similar to the one used in the Etymotic ER4P/S, so there's not MUCH more to be had if you go the more expensive route and get ER4Ps. The iM716s have more bass than the ER4s, but are a little less detailed.
As an alternative, if you DO want a warmer sound, you could pick up the Shure E4C or the Ultimate Ears Super.Fi 5 Pro. Both have a more natural sound than the iM716, but cost a good deal more. The SF5Pro has more bass, but the E4C is more popular and has a more detail. Some people call the SF5Pro rather bloated and say they have too much bass, but other people find it perfect. Word of caution: the SF5Pro doesn't go in as deeply as the other options, so they'll look a bit like frankenstein bolts. The sound is probably more natural, though.