Any recommendations?
Edit: Maybe these still need to be invented?
Also, noise-cancelling headphones are a tool of the devil. Consumer earbuds were invented by one of his minions. If you own a pair, sell them or better yet throw them away.
In response to the OP, the simple solution is to do what we do professionally with $1000 custom in-ear monitors and $2000 lavalier microphones - attach them securely to the user. Unless you're doing something really weird, it's cable strain that is killing your earbuds. Think about how you can secure the cable to yourself to stop the cable from getting tugged in your sleep.
Possible solutions:- Loop the cable from each ear and tape it to the back of your neck with Micropore surgical tape. Use bobby pins or spring clips to attach the cable to your clothing. Run the cable inside your clothing. Use an armband or a clip to attach your MP3 player to yourself.
If you sleep on your side then that rules out all the quality in-ears I would normally suggest, as they all protrude quite far from the ear. My usual low-budget recommendation is the Sennheiser CX300, which sounds a bit boxy and dull compared to the high-end buds but works well enough for $40 and comes with a 2-year warranty. Just don't buy them on eBay, it's full of counterfeits.
But I do think many of the premium models are horrendously overpriced. For me the MDRs hit the magic intersection of fidelity, exterior noise suppression, and durability. They're the only phones that give me the same sound I was hearing before I put them on - YMMV. I just don't like the first two you mention for reasons of fidelity and build quality respectively, and feel the Grados are more of an luxury product than one for engineers.
The Ultimate Ears are a very different proposition. They're fantastic in-ear monitors, without a doubt, but custom-fitted pieces like that seemed way outside the scope of the question. Although they make total sense for people on stage, I don't really like putting things into my ear canal. Plus, I have an unscientific hunch that I'm used to the sound of my own pinnae and bypassing them inclines me to do unecessary EQ.
By the way, I use micropore regularly, but it seems to leave adhesive residue on a lot of people's skin. Do you know a better brand than 3m? I hadn't realized OP was looking for something compact he could sleep with...I have no ideas for that. I don't think I've used a pair of earbuds since sometime in the mid-90s.
But if you don't care about quality, I'd suggest that you buy a really cheap pair. I am currently using a $4 dollar pair (eh 220 earhugger). Sound quality isn't great, but they work well for audiobooks and are okay for music. And $4 dollars is cheap enough that I don't care buying more once I break them.
You might want to consider separating your music listening and sound-blocking, earplugs work pretty well in dorms.