So I took the advice of this thread and picked up a set of iAudio in-ear buds the other day. They perform as advertised, cutting just about all outside noise, while increasing the bass and audio quality considerably. My only complaint with these earphones is that all the sounds that you don't usually hear are amplified as well, such as the earphone cable bouncing off my coat. It sounds like a constant bass drum. All the sounds within your head also seem to become much more noticeable (breathing, chewing, etc.), as does the sound of my shoes hitting the pavement.
I will say that these in-ear buds stay in my ear far better than the standard Apple earphones. And, when sitting still there is no comparison, but when being active there is just too much annoying noise.