(in no particular order)
Shure SE530 Sound Isolating Earphones, $399 or less
Etymotic ER-4P Portable In-Ear Earphones, $300 (or less)
Sennheiser PX-100 Collapsible Headphones (great gym headphones), $40 (or less)
Klipsch Image S4 Earphones, $79.99 (or less)
You can get many (all but one) of the headphones above here at superb prices. Or at your local electronic store.
So, what are your favorite headphones?