Throwing away the earbuds: CX-300
I have been using a second generation iPod Touch for almost 9 months now and, while being completely satisfied with the player (I'm a bit tempted by the iPhone 3GS, even), the earbuds it comes with are simply terrible.
The iPod earbuds are standard earphones, but have quite low volume (when traveling by train I often couldn't hear most of the songs I was listening to, which gets even worse for podcasts or videos). They also disperse a lot of the sound outside the listener's ear, which forces the people sitting next to you to listen to everything you're shuffling through your iPod (something I hate being exposed to and hate to do onto others). The earbuds also tend to dislodge from the ear quite easily, especially when walking or jogging. And finally, after having used my pair of earbuds to exercise for a couple of months, one of the earbuds started to play at a much lower volume (probably because of the sweat).
Time to throw them away, I decided... So I took a lot of time to decide which model of earphone to get and finally bought the Sennheiser CX-300 II in-ear phones.
The CX-300 earphones come with a nice leathery travel bag and 3 pairs of silicon tips of different size (I picked the smallest ones). Like all in-ear phones, they must be inserted directly in the ear canal in order to isolate you from external sounds and produce the best audio experience. It felt kind of strange at first, this being the first in-ears I ever tried, but the difference in sound quality is astounding. The bass pressure these small earphones are able to create, while still keeping all higher frequencies audible, is unbelievable... and this is a "cheap" earphone model! I can only imagine what kind of sound you'd get from the top-level models. 
In fact, when I plug the earphones to my laptop instead of the iPod, I can hear the USB port transferring data! This suggests that the frequency response of the CX-300 is pretty wide... and that my laptop's audio card sucks big time.
I bought my pair of earphones on Monclick for 45€. They were to be found at less on Amazon.co.uk, but shipping costs would have been far higher.
The Sennheisers play very loud: while I always kept the iPod volume maxed out with the old earbuds, I now keep it on 1/4-1/3 tops. Noise isolation is also very good: the CX-300 completely filters out low sounds (you won't hear people talking quietly at some meters of distance), while some louder sounds are dampened (you still can hear the train/subway you're traveling on, but it won't cover the music).
Because of the noise isolation, I wouldn't suggest the CX-300 earbuds to go jogging or to do sports: it could get quite dangerous outside. They don't feel too comfortable to do sports indoors either, and unfortunately you can occasionally hear some noise when the wires are rubbing against each other or against clothing. Not ideal to do long walks or to jog, in my opinion.
The Sennheiser CX-300 are Great earphones in every other aspect. If you give some value to sound quality, these phones are way better than most "standard" earbuds and loudspeakers. Definitely buy them... or something better and more expensive. 
