Headphones
Sure, you can plug any old pair of headphones into the iPhone 4's 3.5mm headphone jack, but you may as well invest in a pair with a compatible microphone and remote control.
There are tons of third-party headphones with iPhone-iPod-iPad-compatible remote and microphone functionality, but we genuinely think Apple's own
In-Ear headphones sound pretty great for the price (about $70).