Bundled earphones suck. I'm talking about the ones that came with your Zen, Zune, iPod, or whatever. (Exception: the Zune 80's "premium" set.) If you really want to enjoy your music, nothing beats a good pair of sound-isolating in-ear earphones. Like, say, the Etymotic ER6i Isolator, which Amazon currently has on sale for $69.99 shipped.
I've owned a set of these for a couple years, and I absolutely love them. (I'm not the only one: Check out CNET's review.) They're not only way more comfortable than earbuds, but they block out ambient noise better than any fancy noise-canceling headphones I've tried. The wires stay almost constantly tangled, which is annoying, but I can live with that in exchange for music that feels like it's coming from inside my head.
Seriously, I can't recommend these (and their in-ear brethren) highly enough. Seventy bucks may seem like a lot to pay for earphones, but when you consider the $149 list price, it's a tough deal to beat.