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If you're looking for audio quality you should check for COWON players. I got a J3 after my Ipod classic died about one year ago, it's excellent. It doesn't have internet and apps, but as a dedicated audio and video player it's probably the best.

http://www.cowonglobal.com/product_wide/COWONJ3/product_page_1.php

Here's a review:

http://mp4-player-review.toptenreviews.com/cowon-j3-review.html

 

edit: Ah ops... you were asking about headphones. If you want good quality sound and relatively cheap earphones go for Sennhiser or cowonCE1. 

edit: Also I forgot, check out AKG headphones.  http://www.akg.com/