I'm looking for a pair of in ear earphones for listening to music from my mp3 player when I travel in the train. Any model to recommend?
Look at Ultimate Ears if you seek audiophile quality:
I've got the Triple.fi 10 Pros and the Super.fi 5 Pros. Both are wonderful and compete well with my over-ear AKG K701 when I listen through my Woo Audio WA6 tube, headphone pre-amp. I mention that, because their performance is true audiophile quality. When listen via iPod, iPhone or other mp3-style portable device you'll get the full potential of whatever setup you have now and they'll still be good as you upgrade your source. Of course, they'll blow away ANY original equipment ear buds.
Don't get "extended bass" IEM, since they don't need it. When they mess with the lower octave they mess up the mids. Quality IEMs have incredible bass extension already, so don't be tempted to "pump it up."
UE has IEMs in most price ranges. Shure also makes pretty good IEMs. I just read where Apple and UE announced a IEM to work with the iPhone. Using an adapter, mine work with the iPhone, but I don't have the mic for talking and have to pull them out to talk on the phone.
In addition to the Ultimate Ears recommended by dcstep you should also look into, listen to and, most importantly, try out the various models offered by Shure, Etymotics and Westone. I have the both the Etymotics ER-4P and the Westone UM2 and I prefer the Westone over the Etymotics since I find the Westone to be more comfortable and to have no microphonic problems like the Etymotic.
Microphonics refers to the IEM's ability to pick up vibrations from the cable and transmit these vibrations as noise into your ear. If you're going to be sitting still than this might not be a problem but if you will be using the IEMs while moving about, e.g. while exercising, then microphonics can become a deal breaker.
Ultimate Ears are no doubt great, but if you want to save a bit of $, you might want to look at Audio Technica ATH-CK7. They seal out the sound really well, and b/c of the titanium body, the sound conduction is great. I think they can be had for 60-70 bucks? (Got them a couple years ago; don't know how much they are now.) I really like them.
I also hear great things about the Denon in-ear phones.
These aren't strictly canal phones, but the canal phones kind of creep me out & I prefer the half-way models, as long as they effectively seal the outside noise.