Bought a set of Shure Headphones Today..Help!

I recently bought the same headphones, and had the same problem at first, until I realized that when I shoved them in my ears harder (which I guess would create a tighter seal) the bass suddenly appeared.

I haven't tried the foam inserts - I think the manual described them as "disposable", does that mean you're supposed to replace them frequently? I'm having the same problems you mentioned with the rubber ones, and find them slightly uncomfortable.