Shure e2c while my Sleek Audio SA6 and W-1 wireless adapter are in the shop getting fixed. Used to use Beyerdynamics DT-770 (so comfortable) but I got tired of full sized headphones and bought some canal phones off head-fi.com buy/sell forum. I'm thinking of selling the sa6 though and getting a pair of ety er4p. The first time I tried those on, my jaw just dropped to the floor.
I don't use any crappy preset eq. If I were to eq, I would use the hardware eq of the sa6. It has bass and treble ports (little rubber adapters that plug into the earphone) that allow you to physically change the signature of the sound. What a shame the iphone doesn't allow manual eq adjustments. That's just retarded.
The better the headphones the more detailed the sound. You may find that you have to also use a higher bit rate to rip your music if you have a really good set. I've been using the Shure SE530PTH earphones with custom settings which sounds great for all my music.
I've had good luck with Skull Candy headphones. They're $25 at Target, but if you're lucky you can find them at Ross or TJ Maxx for under ten bucks. Pretty good sound, especially for that price point - buy two and keep a pair in each jacket for emergencies!!!