I'm genuinely curious... Are $400 in-ear headphones really that much better than, let's say, $100 models?
Because you're not used to it, high end equipment doesn't sound amazing in comparison at first - just oddly different. (At least not in a $400 to $100 comparison - the biggest difference is going from $10 to $100.) Once you're acclimatized, though, it's really hard to go back until your hearing naturally degrades and you're stuck buying high end gear.
So the rational approach is to never buy high end headphones or earphones at all and instead aim for the highest quality stuff under around $150. It'll get you 90% of the way there and stop you becoming an audio freak chasing an expensive pipedream. Almost no-one will give this advice, though, since audiophiles want to rationalize their purchases and reviewers or stores want you to buy their crap.
In high-end speakers (hi-fi, whatever you want to call it) there are always sleeper brands that even the audiophiles will say offer an 80% experience for under 50% of the price... I remember (before several buyouts) NHT bookcase speakers being one of those. It's probably the same in headphones.
Please, for the love of God, take my word for this: it's also very much true of cars.
Which makes it quite difficult to find good equipment which is 90% there. What about speakers/home cinema. Any recommendations?
Go to a real hifi shop, where they actually demo the stuff for you in living room-like conditions (carpet, not warehouse ceiling etc., and no 25 TVs blaring MTV across the aisle), and listen to the difference between, say, $80 speakers and $500 ones, then try to figure out where your ability to hear the difference levels off, and get something in that range.
Bring a CD of the kind of music you enjoy. "Thunderstruck" is wonderful for demoing bass, but if you're into indie-fragile-weeping-dude, it's not what you want to base your purchase decision on.
If a place won't let your switch between different speaker/amp combinations on your time using your own music, you're not buying from them.
(1: Except one thing: cables. Don't get the biodynamic green tea infused ripoff stuff, but the ones that come with your stereo (even good ones) are most likely absolutely hideous. If you already have a setup, and use bad cables, spending a bit of money on decent cables is the best investment you can do.)
If it's a digital signal going over the cables, won't it either work or not work? Or are we talking analogue here?
The difference between the triple fi's and basically any other earphone is actually pretty astounding. The main difference is clarity; though it's a cliche, it really is a case of hearing individual instruments, etc. (though you need high bitrate for this obviously).
It is, however, an extremely expensive hobby (and you can't go back). Another great thing about the triple fi's is that you can replace the cable. Since the cable is usually the failure point of any set of earphones this actually makes it quite economical compared to, say, £50 earphones you need to replace far more often.
Shure has an amazing replacement policy (it's basically no-questions-asked) and I like the company and the user experience, but losing a pair of $200 headphones every 6-9 months isn't acceptable.
I've been using the Ultimate Buds (what a terrible name [for headphones]) versions of FutureSonics FS-1's and Etymotics; in both cases, UB swaps out the OEM cable with Apple's vastly superior version, which has the added benefit of working as a handsfree with my iPhone. I highly recommend these.
It's not hard to see why Shure's high-end pairs are of higher quality than the low-end pairs; the 530's have more drivers than the 115's.
I'm considering a pair of Woodees next though:
Were they $300 better, or even $50 or $100 better? That depends on what your priorities are. Me, I've spent a lot of time and money collecting a high-quality music library, and I prefer to hear it through headphones that are transparent and don't lose detail. Your priorities might be completely different.
I like to keep my music library fairly small, so everything's encoded at 160 or 192kbps mp3. Fancy headphones only help if you're encoding much higher or using FLAC/ALAC.