The headphone jack is very underpowered in the Axim.
You can always get a portable headphone amp
http://www.tangentsoft.net/audio/amp-quote/index.html
check out the two mint tin boxes.
Using withmp3 + headphone amp with my Beyerdynamic DT770 Pro@600 impedance, I get fantastic sound from the little axim.
Best headphones without an amp for the Axim would have to be the Koss KSC-35.
However I use Sony w.ear because of their cool look