I've not used the custom IEMs but ultimate ears or sensaphonics, or for that matter, Shure also lets one purchase custom ear molds with their universal IEMs, however, the use of the foam tips with the Shure's makes them more customizable to one's ear canals. And, when removing the IEMs, one should raise the top of one's ear to break the seal, and then slowly pull out the "plug." No pain at all; no worries, no suction, no vacuum effect -- not with the foamies.
I've been using IEMs for 6-7 years now. They are great, especially for blocking out outside sound. There are different sound signatures with the various brands, Shure, Etymotics, Superfi.pro, Westone, and the custom IEMs. Usually, it's a matter of getting comfy with the concept of screwing a canalphone into one's head, and finding the right kinda tip (e.g. the foamie). Otherwise, IEMs to me, are an indispensable portable headphone. I use them walking around NYC, and on the subway and bus commute to work within NYC.
Some have mentioned the Shure e3; well, IMO and many others, the e4s are far superior. I've had both, no comparison. The e4s are richer, more detailed, and have some bass, especially when used with a portable headphone amplifier (easy to plop the amp and the mp3 player in a bag and carry the bag). The e5s have a ton of bass, but too much, but are a rick, thick sound with detail. I prefer the e5s unamped and the e4s amped.
Again, you'll find a lot more information at head-fi.org about these headphones and others. Audiogon and Audio Asylum for hi-fi, Head-Fi for headphones. Very easy.
- walkman