I got my first iPod many years ago (even if I was not an early adopter at all!) and the headphones that came with it were crap. They were the classic plastic headphones that you can buy anywhere for 2 Euro. I don’t know about you, but when I use them for more than 1 hour they hurt my ears.
Later I bought the first generation of Apple in-ear headphones and while they never hurt my ears they actually never worked properly. I expect them to remain in my ear for more than 10-20 minutes without having to keep pushing back in. Yes, I tried the other plugs that came with it and no big change.
Following a friend’s recommendation I bought some really expensive Shure in-ear headphones. While the Apple’s in-ears costed me about 50 Euro, that was money thrown down the drain, while the Shure have been rocking for more than 2 years now and I am really satisfied.
When I got the 3GS a couple of weeks ago it came with the original plastic-headphones. I had seen some presentation that explained how better they were, so I gave them another opportunity and the result is, I’m afraid, that they still hurt.
If you are planning on buying headphones, please, consider buying some good ones, Shure, Sennheiser, Atomic Floyd all make great ones. It will seem like you are spending way more, initially, but if you use them regularly it’s a well worth expense.