I had pairs of in-ear Skullcandy headphones a few years ago, but they all seemed to break or vanish within a few weeks each. I figured some god somewhere didn't like me and my decision to buy Skullcandy, so I gave up after the fourth consecutive pair stopped working for no reason.
Other than the omens and, like el_loco_avs said, the loudness of the wire itself, I can't do in-ear headphones because I get way too absorbed in my music as it is, and being completely deaf in a place like, oh, Earth where things like coherency could help a lot with day-to-day things (riding a bike, not getting killed crossing the street, etc.), in-ear headphones are just too much.
Also, to whoever said that audiophiles scoff at headphones, I live with other people a lot. I need a distraction from it all that won't possibly provoke questions like "How come all of your favorite band's lead singers sound like chicks?" I would love to get a stereo for those days where the disruption factor isn't there, like for parties or movies, but that's in the back seat for now.