Steve S. at PDAntic comments that he hates the new iPod earphones. I'm going to go one farther and say, I hate bud earphones in general, Apple's in specific.
I'm a big Mac fan, but those little iPod bud earphones that everyone loves so much are horrid; I can *not* for the life of me get them to stay in my ear. Don't know why, but I move an inch, and they fall out.
In-ear phones, for what ever reason, hurt like hell; I never use them. At work and at home, I use a pair of Beyerdynamic DT250-80s, and love them to death. Why? Velvet ear cups. End of film. I've worn them for 12 hours at a stretch and haven't had a problem with them. On the road, I use Sennheiser PX100s, which do OK for walks and such, but are definitely tiring on the ears.
If you're looking for good headphone advice, definitely check out Headroom, which has more cool information on headphones and more sweet audio toys than any site I can think of; and it's much better than the crappy headphones Apple has.