I'm going to sound insane compared to folks advocating $50-$250 headphones.
I use OEM Palm Stereo Headset 3.5mm model#3422WW. These are in ear, not in ear canal. They sound better than $30 & $50 headphones I've tried. Oh yeah easily had on eBay $3.50.
I'm with you here. I bought some noise canceling ear buds on Ebay for 8 dollars, I've been using them for just over a year now and they are amazing. The bass is great, and they are super crisp and clear. Sure they wont attract gold diggers and hipster audiophiles, but they do a great job of sounding good.