Yes, exactly. However, you do get wildly varying reports, from headphones completely changing sound signature to no change at all. So it seems very subjective.
I have found that the Sennheiser IE6 is very sensitive about getting a good seal in the ear. With the standard tips I found the sound a bit on the thin side, but with the supplied double flange tips (or even better
Comply Foam ear tips) I found the sound much more full bodied and detailed.
Getting a good in-ear seal if important with any in-ear sound isolating earphones, but some models it seems especially critical. The IE6 seems to be one where it makes a big difference.