My workday walk to and from my car is the perfect opportunity to listen to music. I love my iPod Shuffle for this -- it's tiny, holds ~500 songs, keeps a charge for quite a while, and tucks away easily in my purse when not in use.
But the headphones that came with it were just terrible. I mean, no worse than any other freebie headphones -- foam-covered little dealies that you stick in your ears. They weren't a great fit, though, so outside noise was still really audible over the music at nearly any non-eardrum-bursting volume. Add to this that when I use my Shuffle while working out, the foam would absorb sweat, leaving the earphones manky and gross.
Enter Apple's in-ear headphones. They also go in your ears (duh) but come with three sets of thin, different sized silicon sleeves that slip over the little speakers to ensure a better, personalized fit. A better fit means better sound quality. And the silicone doesn't absorb sweat, so if you use them while exercising, there's no grossness.
These cost $39 at apple.com or the Apple Store. I can't recommend them highly enough.