what i have:
full-size
ultrasone 2500
alessandro ms2i (modded grado 325i)
sennheiser 580
akg 701
grado sr 80
beyerdynamic dt880
portable
etymotic er-4p
shure e3c
koss ksc75
as far as earphones are concerned, i highly recommend the er-4p. these are reference earphones, which i use primarily for classical music. they are clear and detailed. if you listen mostly to rock (bass-rich music), perhaps shures are the way to go. my e3c's are too muddled, though. go with e4c or better.
the best value by far are the koss earphones i listed. you can find them for about $20. you should modify them by taking cutting a hole (about the size of a penny) out of the foam pad. this makes the mid-range and treble more clear. these cheap earphones outclass bose, which are universally considered to be crap by true audiophiles. really... stay away from bose. the only reason that people think that bose produces good sound is because the company markets and advertises like no other. you can find much better sound for much less money.
if you're serious about sound, an amp (portable) is also recommended. you can find good portable amps produced by ray samuels, xin, meier, headamp, go-vibe, and others. music straight out of an ipod or other device is okay, but the internal amp will never rival an external amp. grado does a good job straight out of the source, but an upgrade by amp would be worth it.