Besides, the headphones I have now were just as expensive and the audio quality is better than virtually everything I've ever heard, save for a pair of studio-quality headphones my mother has had for decades. 😮
You can't equate prices between IEMs and headphones, just like you can't equate prices between headphones and loudspeakers. If you're talking about sound quality (save for spatiality/staging/imaging, of course, where the better loudspeakers usually have clear advantage over IEMs/headphones) it will be far more cost effective to have it in IEMs first, and then headphones second, and loudspeakers last.
Say, just for example, IEM within several hundred dollars ~ headphones around a thousand ~ loudspeakers from the range of four grands and up (anything more will be paid for premium in design, brand and style -- or just pure SQ in some cases, but it's more like squeezing the last 5-10% here and there, if you could put numbers to SQ, that is...). That's why IEMs are getting more and more popular lately, by the way.
As for IEM comforts, it's indeed tricky to find one that would fit your ears. Best is to have a set of earplugs that is custom-profiled to your ears, such as offered by some IEM specialists like JH Audio, Westone, Ultimate Ears (now owned by Logitech) etc. They're quite pricier than universal-fit IEMs though.
Of course each form-factor has its own advantages (such as it's more comfortable to take a 20-min nap with IEMs than it is with headphones, hehe).