I've got Grado Labs SR60 headphones:

They don't look like much, but they sound awesome. I don't wear them on the bus because there's no point - there's so much background noise on the bus you can't get the full effect of good headphones. On the bus I use these:

Panasonic RP-HT65S. They're cheap as hell at just $20, but they have good highs and lows (I've never been satisfied with the lows from earbuds), I don't look like a douche wearing them in public, and I don't care if they get lost. The only downside to them is a few years ago Panasonic decided it would be a GREAT idea to jam a volume control in the middle of the cord. I have a volume control on my player already so it's redundant and annoying, and it's a break in the actual cable so if the cable snags on something, it snaps there.