At least in my experience, it's one of those things that you don't know what you are missing until you have it.

I remember when I bought my first pair of IEMs. They were pretty cheap, but still better than whatever earbuds came with my iPod at the time. After listening to the new IEMs for a while I was unable to go back to the Apple ones because they sounded so much worse. If you asked me a few days prior, I would have told you the earbuds sounded fine.

Then I got a real pair of headphones...