Personally, I feel more comfortable with music playing, which is why I use ear-buds. When I'm just walking somewhere in the city, I use ear-buds, because they're easy to use, fit in my pocket, and do what they were designed for. I don't have those in-ear ones though, it seems uncomfortable to me.
Using regular ear-buds the vibrations still have a bit of an alternative way to go than straight into your ear. It just seems safer for my hearing to, as you never know you turn up your volume by accident.
When I'm on the train, I prefer using actual headphones, simply because I'm an audiophile and prefer high-quality sound. And no thanks to skullcandy; they only look fancy, but that's it. They colour your sound rather than giving you the actual sound that's in the song you're playing. I prefer what they call 'a flat frequency response'.