I really enjoy the sound from in ear headphones, but I had an issue where wearing them too often was causing ear wax build up near my ear drum. I actually temporarily lost hearing in my left ear because because of this. Basically, the ear buds did not allow the ear wax to naturally flow out of the ear. This caused wax buildup near my ear drum and reduced the ability for my ear drum to vibrate. I had to rinse my ear with warm water every day to eventually clear it up. Just a cautionary tale.
My experience was just that the wax buildup is gross, and the popping sound from the headphone losing, regaining, and losing seal was really loud and uncomfortable. Now I just use high quality over-ear headphones, which sound better to me anyway.