I find it depends. I wear glasses and have fairly big ears [0], so headphones become painful fairly quickly.
Some earbuds are uncomfortable, I can't stand the standard iPhone ones, and the Samsung's' wire makes a lot of noise when touching something ever so slightly.
I have a pair of intra-articulars with foam tips (like the ones you buy for studying) and they're very, very comfortable. I can wear them for hours on end. The tips come in several sizes, so it's important to pick the right one.
The only issue is that they're not easy to put on: I have to squish the foam, put them on, then hold them in place a bit until the foam expands. In an office setting, if I have to do this often it gets old really quickly. Noise isolation is great, too, so I can't leave them on if I have to talk to someone.
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[0] I've tried "around ear" phones, but they don't go around enough, and end up pressing on the outer ear, which, with the glasses, gets painful.