Intra-aural earphones, a more recent but increasingly popular category, insert directly into your ear canal. This approach is derived from hearing aids and certain pro equipment. They are a type of closed earphone in that they also act as a kind of earplug and so provide a high degree of isolation from outside sounds. Their bulk is all but zero, which makes them very appealing for use with portable media players. Their disadvantages lie in the fact that they can quickly become uncomfortable if you have sensitive ears and also that the high degree of sonic isolation from the outside world can be dangerous - if a bus happens to be speeding through the outside world, for example. Also, their sound quality is often far perfect and most models have trouble reproducing extremely high frequencies. Finally, listening in the absence of any natural acoustical field can give you the odd impression of listening to sound that's coming from nowhere and lacks weight.
This category can be subdivided into "true intra-aural" and "semi-intra-aural," depending on how deeply the earpieces are inserted into your ear canal. Earphones that penetrate the ear canal deeply provide better acoustic isolation, but wearing them can be unpleasant and it's essential that they fit your anatomy well. In addition, inserting and removing this type of phone can be a long and delicate operation. Semi-intra-aural earphones don't have those disadvantages, but they provide less isolation.
Finally, we have the traditional on-the-go earphone solution: earbuds, which simply slip into the outer ear or are held in place by a mechanical system that can take different forms (headband, neckband, or ear-clip). This type of earphone is usually provided as original equipment with MP3 players. While some perform fairly well, their performance is generally inferior to that of other types of phones.
Will That Be A Large Or A Small?
If you opt for a more or less traditional pair of earphones, you have a choice of sizes. Between earbuds that sit in the hollow of your ear, intra-aural phones that fit tightly in your ear canal, supra-aural (open) models that sit on your ear and circum-aural (closed) ones that enclose the ear and rest on your skull, the dimensions are necessarily going to be different. Each approach has consequences for the acoustic coupling between the earphones and the ear, but also on more subjective parameters. "Full-size" headphones almost always provide more ample sound reproduction, with more satisfying bass - even though smaller phones are capable of the same performance on paper. There's a lot of truth in the statement that there's no such thing as universal earphones, and you may well end up using several pair, depending on what the circumstances call for.