I personally use the Sony MDR-EX71 White headphones. They are in-ear style, provide excellent bass response and are fairly inexpensive. Brand-new they are $49.99, but I got them from the Sony Outlet for $19.99 Refurbished. You can also get them for the same price from ecost.com. I read that the EX-81s are good as well, but I've had 3 pairs of the EX-71's (I lost the rubber ear-pieces often), and they are my favorite earbud headphones, far better than the crap Apple provides you with.
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