After shelling out $100 or more for a new MP3 player, dropping more of your hard-earned cash on a pair of headphones may not appeal to you--especially given that a working pair is generally packaged with the device. However, that stock set isn't doing you any favors in the sound (or comfort) department, which is why we always recommend upgrading, even if it's only to $15 earbuds.
Or you could aim a little higher and pick up a set of JLab's JBuds J2 earphones, which carry an suggested retail price of $80 but list for $30 on Amazon.com. They're definitely not worth the higher price point--highs are muted and music has a muddled quality on the whole--but they're comfortable, offer some sound isolation, and come in pretty much every color combo you can imagine.
Most notably, the J2 earphones offer a stark improvement over stock 'buds. Read the JLab Jbuds J2 review.