Your complaints are the common ones with the 210's. I personally don't like any of the shures until you get into about the $300 range.
The Costco Vmodas you're talking about are not the vibes, but Costco has sold the Vibes in the past. Amazon has them, and last time I checked they had brought them down to about $60ish. They are not super high fidelity phones, but they are perfectly adequate and probably have better fidelity than anything else under $150. One drawback is that their build quality is not the super tippy top and a lot of people have frayed cords.
Costco.com has a pair of Ultimate Ears that I don't have experience with, or knowledge of. I have been pleased with other UE's phones, so you may try them out. The price is very nice, and you're familiar with Costco's return policy.
A great one to try would be Etymotic Research. They are reasonably priced and have great sound.
But again, you're using compressed sources, so you shouldn't expect too much, or spend too much on headhpones. They will only take you so far. There's no reason why you couldn't run apple lossless (and shut off the equalizer) and start to have a great experience, but that would cut down on your selection on your player (due to size) and require more time to drag and drop albums.
My recommendation if you didn't like the cannyness of the shures and don't want to go hog wild is to buy:
http://www.amazon.com/Sony-MDREX90L...?ie=UTF8&s=electronics&qid=1242946737&sr=1-18
I bought these for my wife, and they are quite adequate. Good bass, no cannyness, great sound. Not a hifi phone, but also not meant to be. I'm pretty sure you can get them at Bestbuy.