You also get another pick thingy, a little soft case (easier to pocket than the chunky hard case), another standard socket adapter, and a 1/8th-to-1/8th volume attenuator. If you plug the earphones in through the attenuator, it makes them quieter.
There's a good reason for the inclusion of these fixed and variable volume control devices. Without them, it's easy to damage your hearing with canalphones.
It's easy to damage your hearing with practically any headphones, of course; you'd be surprised how low a noise level can be and still do permanent harm over time. There are several factors involved, not least of which is sound frequency - bass is much less dangerous per watt than midrange or treble, which is why hair tricks and experimental subwoofers don't leave trails of deaf people in their wake. I think there's also good reason to not get too terrified about the most conservative estimates of harmful sound levels, if only because according to the worst of them there's practically no modern environment quiet enough to keep you safe.
It is, however, very easy to achieve serious industrial-equipment noise levels with all sorts of "personal stereo" equipment. Just because the noise you're hearing is more enjoyable doesn't mean it won't wreck your ears, given time.
There are two things that make earbuds and canalphones particularly dangerous.
One: Their maximum volume level is generally higher than that of full-sized headphones, mainly because big headphones, even sealed-back models, aren't as directly coupled to the eardrums. Even weedy portable player headphone amplifiers can drive most earbuds to alarmingly high volume levels, especially if the wearer doesn't care (or know...) about distortion.
Two: People usually wear these tiny headphones in noisy environments, so they turn 'em up to cut through the sound of the train or city street or whatever. Earbuds are far worse in this department, because they don't seal the ear canals and thus let in lots of outside noise.
Result: Possible hearing damage, definite lawsuits, and software and hardware to limit volume.