Based upon your post, I assume you want buds. Stock HD buds are basically throwaways. Hard to say what will work best for you w/o more info. Love bass? Want balanced sound? Want great imaging for the money?
Sennheiser makes a nice set for the money called the CX300, but they're not for everyone. Its sound signature is a bit on the dark side and some describe the sound as not really sounding very natural and warm. But I found them very good with detail and precise for the money. Online you can find them for around $30-45US, depending upon the seller. If you're willing to spend about twice that, Head-Direct sells a really nice IEM called the RE-0; it's considered by many as one of the best sounding in-ear designs under $200. You can only buy them directly online from Head-Direct. Steve Guttenberg who does the Audiophiliac blog here on CNET absolutely LOVES Head-Direct's HiFiMan $600 full-size headset, the HE5. Both sets get a LOT of love over on head-fi.org, the REAL place to go for all things headphones. I own the RE-0, and while it's pretty good I'm not as taken by it as others on head-fi are. Still for $80 you'll be hard pressed to find ANY IEM or ear bud under $150 that can top it.
If you're willing to use a headband type set, Koss makes a killer unit: the PortaPros are a legendary 25 yr old design and are arguably the BEST sounding headphones of ANY type priced $100 or so dollars and down. Best Buy sells the best looking version (mostly black) IMO for $50, but the classic black w/ silver version can be found online from $30.
As for the radio on the HD; all you need to do is use any cabled headphone for it to work. It's the actual wire that serves as the antenna; there's nothing special at all with the OE buds.
Good luck w/ your search.
I'm getting Zune HD soon but I've heard that the headphones that come with it aren't very good. In the past I've just used stock earbuds (like with my Zen V Plus) but I'd really like to get some better ones. I'm on a pretty tight budget, about $20 is my max but I could probably be persuaded to spend $30, anything in the hundreds is definitely out of my range. I also tried the JVC Marshmallows but I hated them, they made my ears feel clogged up. I definitely prefer the circular shaped earbuds to to the post shaped ones. Any recommendations would be much appreciated! Also (and this may be a dumb question), I read something that said that the radio on the Zune uses the headphones as an antenna, will it still work if I'm not using the stock earbuds? Thanks!