I have Etymotic ER6i's, I've tried Ultimate Ears' Super-fi 5 EB's and will probably be getting a set in the near future, maybe will get the Pro's
(SF5's are dual-driver, one low and one high, so the bass is miles ahead of single-driven buds, important if you like music with bass! The cheapest set with dual drivers from another top-tier brand is from Shure for around $500, and the UE's are half that. The ER6i's are OK on bass, it's very clear but it's a bit low. ER6's are slightly lower on the bass, but I liked them because they're black and the internals are machined metal versus plastic on every other earbud (including ER6i). The Shure's are too high on the midrange for my liking (I had the E3's for one day, they fell once and the left driver cut out, I returned them and went back to Ety's)).
I have cheaper headphones (stock ipod and creative phones, Koss Plug's), and they all
suck compared to a quality set. Only issue is that you then need to get all your music in higher bitrate because you can hear so much more of the music and you can hear the difference below 192kbps, complex sounds (such as heavily mixed music) sound terrible below 128.
I got an NCase leather belt unit for it (the kind that flips away from you, so you don't take it off your belt to access it), Belkin is good too.
Edit: BTW, this should be posted in hometown, people who don't ride the subway every day just won't get it