Every time we've reviewed an Apple iPod we've had issues with the uncomfortable and poor-sounding headphones supplied.
One replacement option might be the SE110 - the cheapest set Shure sells.

Sounding out Shure's entry level headphones
Personal Computer World, 10 Jan 2008
Larger ImageEvery time we've reviewed an Apple iPod we've had issues with the uncomfortable and poor-sounding headphones supplied.
One replacement option might be the SE110 - the cheapest set Shure sells.
The detail in the midrange and high end is excellent for the price, but the bass isn't quite as convincing as you get with some other headphones, noticeably some of Sony's in-ear buds.
The SE110 comes with a hard case and five different types of bud included, most of which we found uncomfortable during testing since we really had to ram the headphones in to get a fuller bass and the full insulating effect.

Overall: Crisp sound, but bass isn't as punchy as we had hoped

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