Audio Technica's CM700 are quite good (I use these myself) though they are standard earphones - a little on the bright side. Alternatively, the Grado IGI are good and are fully in ear.
i swear by shure in ears, for 80ish quid you can get the se210's which sound awsome on the ipod, once youve played around with the different sizes of ear buds to suit your ears and got the hang of getting them in.