These are the best headphones I have ever had, I have had Sony, Klipsch and Shure brands, nothing has beat these.

http://www.amazon.com/Bose-44435-Bose%C2%AE-In-Ear-Headphones/dp/B000XA8766/ref=sr_1_6?ie=UTF8&s=electronics&qid=1258575284&sr=8-6

As for an MP3 player, this is the one I have and highly reccommend

http://www.amazon.com/Creative-Player-Wireless-Built-Speaker/dp/B001CB0RSG/ref=sr_1_4?ie=UTF8&s=electronics&qid=1258575442&sr=1-4

Well yeah, nothing is gonna beat Bose, they have perfected getting big sound out of small speakers. But I suspect even my suggestion @ $40.00 was pushing the budget

I though he had a budget in the OP that was pretty high.  If not then then the Sony ones you reccommended are the best under $50 by far

Yeah, my budget is £150 (ish), but I've decided based on the advice to upgrade both, only slightly above budget....

New Headphones: http://www.jaysearphones.co.uk/s-jays-siren-armature-noise-isolating-earphones---black-4-p.asp

Not super expensive but they apparently are the best In-ear headphones for bass this side of £180, (I love bass) and my new mp3 player:
http://www.advancedmp3players.co.uk/shop/MP3_Players.1/Cowon_iAudio.15/COWOND2PLUS16GB/Cowon_iAudio_D2__16GB_MP3_Player.3758.html

Which is apparently the best sounding mp3 player available apart from their latest model, which is slightly better but much more expensive.

Have I made good choices?

looks like you have made a sound choice (no pun intended)