I second the suggesition for the Etymotics. If not those, check out Shure brand headphones. I think both are in-canal type headphones, which can kind of bug some people. Recently Target had a good deal on one of them. I think the Etymotics for like $100. Also check out a headphone amp to properly drive your headphones once you get them. If you don't want to buy an amp, I think there is a version of the Etymotics that is better suited resistance-wise to not having an amp.
I have the Etymotic ER4-P Earphones and I love them! They are far and away superior to the earbuds that came with my iPod. They also have the advantage of being noise isolating. They work great on airplanes. If you want to use them outside while running, etc., though, that could be a problem.
I've never liked ear buds much (except for the really expensive ones - which I'm really not willing to spring for) mainly because of lack of bass reproduction. However, I recently read some favorable things about the earbuds from Koss called "The Plug" so I bought a pair. I've been really satisfied with them considering they only cost me 15 bucks from Best Buy. They aren't as good as a good pair of over the ear phones but they have pretty good sound with excellent bass reproduction. They come with several different shapes of squishy ear inserts that go over a little pole that transmits the music from the speaker. The inserts squish up like ear plugs and you stick them in your ear and they create a seal. You can choose the ones that best fit your ears and are easiest to insert from the four different types that are supplied.