I use these Sonys and love them:
Sony MDR-EX70LP
These are earbuds, but not the flat type that sit just inside your ear. These are more like earplugs and really do sound great.
Sony offers a newer version for $10 less, but I can't speak to the difference, other than the newer ones only have two sets of interchangable earbuds rather than three:
MDR-EX51LP