IMO, iPod earphones are carp, so you should probably be able to get something a lot better without spending too much.

For mine, I have a pair of Sony MDR-EX32LP ear buds, which, while still a good way short of hi-fi, are vastly better than the iPod originals, keep the sound in much better so you don't annoy the people around you as well as keeping the ambient noise down on trains and planes, and cost around £20.  Oh, and they come with a range of different-sized foam pads, which is useful if, like me, your lugholes appear to be different sizes.

Indeed you don't want something too crash-hot since that can make the quality compromises inherent in the compressed files uncomfortably apparent.

I had until recently a pair of Sennheiser CX300s. (The black ones. For what it's worth, apparently if you wear white earbuds you're more likely to get mugged. This did not influence my choice of colour.) When they packed it in (which was a little sooner than ideal but I didn't take much care of them) I went for the Shure SE110s. Both were fine; perhaps the current ones are better on the whole but they also cost a bit more. They also come with a handy pouch which means they'll probably last a bit longer than the last lot. Also the cord is much chunkier.

p-w I respect your choice!  I'm in my second pair of Sony MDR-EX71SLs, and I must add that I had to replace them because I used to wind teh cable around the device too tightly.   They're excellent VFM and they stay in your ears brilliantly, blocking out just enough noise to avoid irritation but not quite enough to miss your stop on the train. :-)

You can pay an obscene amount for heaphones but unless you're planning on ripping everything in some enormouse lossless format, I don't think you can do any better than these for the cash. Thumbs up from me. 

Thank a lot folks.

PX200s perform amazingly well for their price. I prefer "in-ear" plugs for my iPod though, since exclusion of surrounding noise is a priority.

Try these ....
http://www.argos.co.uk/static/Product/partNumber/5340459/c_1/1%7Ccategory_root%7CHome+entertainment+and+sat+nav%7C10199181/c_2/2%7Ccat_10199181%7CHeadphones+and+earphones%7C10199244/c_3/3%7Ccat_10199244%7CIn-ear+headphones%7C10199251.htm
You can't  get vexed for £7.25.
Is advertising allowed ?
 

I think my other half has these http://www.iheadphones.co.uk/headphones/19555/Etymotic+ER+6i+White.htm which he says stay in the ear incredibly well and he's been most impressed with the noise cancellation.