Andy,
sometimes they feel a bit confined, perhaps because the things are in my ears with no air to interact with, but if something is too loud, it's transient hits and my ears and it HURTS! if they don't fit, they may be a bit wonky, but if everything is right, i forget i'm wearing them. i think they may actually have better range than headphones.
i will say this though: some singers tell me that IEMs do weird things to pitch, and so they will sing with one ear out. i know what they're talking about, but it doesn't bother me.
~db