For music, I use the Etymotic Research ER-6i: http://www.etymotic.com/ephp/er6i.aspx
I ride the train to and from work, so the isolation they provide is top notch, while still being surprisingly good fidelity for such small pieces. Still garbles a bit on some of the heavier stuff, like if there's a full orchestra playing, but I think that's a victim of the ipod's 0.5W amp more than the earphones.
(Sidenote: These penetrate pretty deep into your ears. Some people don't like that; I don't know how I ever went without it. Constantly having earbuds fall out is no fun, yet I can pull these out in a hurry if I need to clearly hear my surroundings. They have a $20 set of earplugs you can buy that fit the same way the earphones do; I recommend the earplugs to anyone who ever does concerts or movie premiers, since they're such a life saver for your eardrums...you could get those and see how comfortable they are to compare to the earbuds.)
For gaming, I don't have headphones on often since I have a nice 2.1 speaker set. But when I do game on the go, I take my Everglide S-500: http://www.everglide.com/index.php?option=com_content&task=view&id=18&Itemid=44
I got them from woot.com for cheap, $45; they sell them there now and again, keep an eye out if that price sounds good. They're not BOSE quality, but they sound good, and accentuate the things I want to be hearing when I'm in a game.
But while writing this I noticed you emphasized having something well-rounded, so all of the sennheiser suggestions would probably suit you better. These are just some examples of some more specialized choices based on my experiences :D