in-ear headphones are NOT speakers. Don't get them confused.
Frequency response -
Say your headphones have a range of of 60hz-15khz. This means it can only produce frequencies between those numbers. Now, those headphones would sound muffled and probably not much bass. What little bass produced would be crackly. You want as low and high as you can find. The human hearing range is 20hz-20khz (20hz-20,000hz).
Sensitivity - you are correct. The higher the number, the louder they will be able to get.
If you are willing to spend the money, Shure E2's or E3's are excellent.