Thanks to all those who offered headphone suggestions. I went with the Sony MDR-EX81LP/B in-ear headphones, and they sound fanstastic. The bass response, midrange, and highs are all crystal clear. From Johnny Cash to Nine Inch Nails, and from Pink Floyd to KMFDM they sound amazing. Because of the in-ear sytle, they also do a great job at eliminating background noise. They also include a special American Idol filter which prevents any of that crap from reaching your middle ear. They retail for $49.99, but I was able to pick them up from Buy.com for $30.
You can see the product here. If you are looking for a new set of inexpensive headphones, I highly recommend them.