This last trip home was the first time I really used my Creative Nomad ZEN USB 2.0 60GB with headphones (usually I just plug it in to my computer at work or my car and listen to it for real.) Well, it's no secret that the Creative headphones really suck. I was thoroughly dissatisfied.
So I go looking around for better headphones. I go to nomadness.net and look for suggestions. There's a few, and I go down to this site and now I want to spend $3,333.00 on a headphone amp (I, however, will refrain from the extra $555.00 for the stepped attenuators--I mean, that's just insane). But more realistically, it looks like there's several decent headphones for about $60 that I would be more than happy with. But man, read a few minutes of this audiophile stuff and you start to get sucked in.
At least this site says my audio player itself has decent sound.
Actually
Sennheiser
I can vouch for these. My roommate has them, and they're amazing. $100 right now (were on sale for 80 a few weeks ago, so can probably be found again). Amazing sound. I could probably bring them sometime (when I'm back from Scotland) if you want to check them out.