One of the odd things about being a podcaster is that people are always asking you about sound stuff. I'm not really an engineer, but I have taken the time to review the market, and consider the various options.
If you're a Jordan, Jesse GO! listener, you probably already know how much I like my Zune (though if I was going to spend $300 rather than $90, I would have bought an iPod, which is maybe marginally better).
But what about headphones?
If you're looking for something pretty inexpensive and lightweight, I heartily recommend the Koss Portpro (pictured above). They cost about $40, they're light, they fold up, and they sound fantastic. Great bass response and really clear through the spectrum. Wonderful headphones. They also come with a pretty much unconditional lifetime guarantee.
If you're looking for higher-end listening headphones, the brand most people know is Sennheiser. I have nothing against Sennheiser -- in fact, my on-air headphones are Sennheiser (they were on sale), but they're a bit expensive for what you get, no matter what your price range is.
If you want amazing, rich, beautiful sound for a shockingly low price, check out Grado. The SR-60 and SR-80 are headphones that will shock you with the warmth and richness of their sound. You can get either one for less than $100 -- the SR-80 is a bit bigger, which enhances bass response. These are headphones that aren't about marketing, they're about sound, and boy do they sound great. They probably don't sell Grados at your local Best Buy or Circuit City, but you can of course get them online (try Audio Advisor), and they're also available at Cambridge Soundworks and other stereo stores. Seriously, listening to music on headphones like this is an entirely different experience. The only downside is that since iPods are designed to drive those tiny earbuds, they don't generate a big signal, so if you choose to use them with your iPod, you might have to give up loud listening. Or get a little headphone amp.