Get good headphones. Not from a company with a massive advertising budget, but from a company that treats each headphone like a musical instrument.
Grado is my favorite, and I believe that they offer the best sound for the buck. Grado headphones are ugly, but sound great. The only model that you should avoid is the entry level SR40 (also the only one made overseas.)
Starting with the SR60 ($69) all the up to the RS1 ($700,) Grado headphones are critically acclaimed. Three models have minijacks (the type that easily hook up to a walkman, discman, MP3 player or computer) and they are the SR60 ($69), the SR80 ($95), and the SR125 ($150.) Get what you can afford.
Also, Sennheiser is worth a look, but look to spend 50-100% more for similar sound quality. Sennheiser headphones are the most comfortable.