I could never get into Grados, because I refuse to buy supra-auaral headphones. I can't wear them for long periods of time, which is a requirement.
As far as in-ear goes in relation to soundstage, I don't think the type of headphone makes much difference. It's the original mix, plus whatever else you have to modify it (Total Bithead). You can be "inside-your-head" with circumaurals and "holy-shit-it's-right-in-front-of-me" with in-ears.
Okay, very loosely-related note... I got my wife a Casio CDP-100 keyboard for Christmas. That thing has AMAZING sound through headphones. I was using my open-deck Sennheisers and I thought the speakers on the piano were still active with the headphones plugged in. I took off the headphones - dead silent. It freaked me out. I looked like an idiot, taking off the phones to check every few seconds, grinning madly.