Ive never used these Sehnheisers that everyone seems to rave about but Ive always bought a pair of the Sony in-ear style headphones whenever I get a new player and have done for years because I always found the ones that come with walkmans/discmans/mp3 players far too tinny.
http://www.amazon.co.uk/Sony-MDR-ED21LP-Groove-Earpiece-headphones/dp/B00009NK3L/ref=pd_sbs_ce_img_4Cheap as chips and always did the job for me, they dont fall out and the sound quality is good, and you also dont have to jam something down your ear canal to listen to music (always seemed a bit strange to me). Dont get me wrong, they arent going to cut out ambient noise completely (which to be honest is probably a good thing if youre out jogging or walking along a busy road) but they tick all the boxes.