Yeah, I haven't considered the Orpheus or R-10 either. I'll check into that.
Re: the IEMs, I haven't tried the Comply tips, but I do use the Shure black foamies. These are much better than the Super Fi tips, but still not great.
I like the Shure black foamies as well but for comfort I don't think anything beats the Comply's. But with the UE's, tips are only part of the problem, their design seems to really be hit or miss with people. When I had the Triple.Fi's it took me a couple of weeks to really get on to inserting them right but I've read about many people that were never able to get them to fit right no matter what they did. A design like the Westone's or Shure's generally seem to work much better for people.
I'll second the X10 recommendation as well, I really liked the ones I owned, I only gave them up because the only tip that worked well for me was their included silicone tip which I have a sensitivity to. I never did try them with Comply's though and have been meaning to pick up a pair to retry them.