I have Skull Candy's, I can mow the lawn and still hear the music loud and clear! The standard Skull Candy's are ~$30 and are great for the money. I would REALLY love some Ultimate ears, but they are $100+.
Well, so far all of the reccomendations are earbuds. If that's the route you want to go, Ultimate Ears or Westones are awesome (I have the Westone UM1). For headphones, you really can't go wrong with Sennheisers. My favorites are the higher HD series (580, 600, 650), but those are kind of pricey. Sony V6's are one of the de facto standards these days, and only cost $60, so those are always a good choice.
I have tried dozens of headphones and earbuds (I'm an audio engineer/sound designer by trade), so if you have any questions, let me know. I'm always glad to help.
They do, the in ear CX300s. I have those, and though the sound quality is good, the cables are really stiff, so every movemen tis loud as hell in your ear. Not recommended.
I just checked eBay, and you can get the Ultimate Ears Super.fi 3 for $50-80 (not too much more than the Senns), so I'd go with those. They are way better than they have any right to be at that price. (It's too bad this thread didn't appear a week ago. Etymotic ER6i's for $50, but the deal is gone)
(Oh, if someone wants to buy me Sennheiser HD-650s or Westone U3s for Christmas, I'm not above charity. And those are my objects of audio affection.)
If you're going for sound quality: Sennheiser, Shure, Bose. For a small price I use a pair of Sony's and for some reason I can't remember the name but they're black and have good bass...I think it says "groove bass" on the packaging.