Those courtesy earbuds that Apple included with your iPod are acceptable, but if you want to hear some real bass and a warmer and more accurate high-end, you'll want to step up to a pair of headphones.
I was looking for a solid pair of portable headphones that were priced where I wouldn't cry if I lost them in an airport. I bought the Sennheiser PX100 headphones for about 40 bucks.
The PX100's are an open air design, but still manage to get a powerful bass response and a defined mid-range that is suited nicely for rockin' guitars. They also have a warm and distinct top-end without any piercing or harsh fatigue. These things really come alive at volumes just below the level you'd rationally consider dangerous.
More info about the PX100's and other headphone options can be found on the very informative HeadRoom site.