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I have some V-Moda and Senheisers...

The V-Moda Vibe Duo is what I use with my iPhone, and they are a significant improvement over the Apple earbuds. I'm not sure that they have the most balanced frequency response, but after a little break-in they do certainly sound good. Plus they were one of VERY few models made for the iPhone jack and including a microphone and controller button.

For regular iPod I have both the Senheiser PX100 and PX200 collapsible headphones. They are some of the most comfortable phones I've ever used and damn near indestructible for something so portable. The sound is fantastic, price point is great (sub $40), and you can get open-air or closed design. Super phones for iPod-style unamplified listening.

As an aside, it seems to me that the Apple earbuds suffer more from ergonomic flaws than cheap components. I think their drivers are plenty responsive, it's just that they are so damn uncomfortable.
 
I use Sony MDR-EX32 headphones with my iPod-very comfortable to wear and it produces amazing sound (not loud as to damage your hearing but just right), even though I have my iPod volume on max at all times.

Sometimes, I use the MDR-E808 headphones with my iPod that came with my Walkman.

I have found that Apple's standard earphones to be not as comfortable compared to Sony headphones.
 
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