Earlier when I've griped about the iPod Shuffle, saying it needed a dynamic compressor, Mark Fowler told me I just needed better headphones. I didn't really take him too seriously as I didn't think there could be that much difference between in-ear headphones.
Nevertheless, when my headphones failed recently, I decided to try the Shure EC2 he were recommending. I found them a bit weird and painful to wear to start with (they don't just go in the ear, they go inside the ear canal) but that was just a matter of finding which of the 9 different sizes and types of sleeves fit my ears best. Because they fit so snugly into the ear canal, they significantly reduce the amount of surrounding noise that you hear. This means I don't have to jog the volume on my iPod up and down all the time if a song has quiet and loud parts; the effective dynamic range is much greater. They also manage much lower frequencies than I've heard in any other headphones.
In short they have made it enjoyable to listen to music on my iPod again. That makes them worth the (rather stiff) price, in my opinion.