I got a mini USB to mini headset adaptor for my wife's RAZR and it works well on the RAZR. I haven't tried it on my Cingular 8525 yet, but I'm guessing it will work fine. I got it off of eBay for a few bucks.
The headset that comes with the unit is actually pretty nice. It has the wires to deal with, but it has decent quality and nobody has complained about my voice being underwater or sounding like a speakerphone when I talk on it.
I also use the default headset to listen to MP3's using Windows Media Player (stored on the 1GB micro SD card). The music comes through fine in stereo, and when the phone rings, WMP auto-pauses and the headset starts working in phone mode, taking the mono signal and splitting it to both ears. And when I hang up from the phone call, my song resumes right where it was paused without me having to hit PLAY.