I guess that as you've only used the mp3 earphones that come in the box, then you won't have experienced comfy in-ear noise isolating headphones. You also should look for hygienic headphones as you want to be able to clean/wash your earphones after exercise, as last thing you'll want is to return to training with a sweaty earphone with a muffled sound due to the perspiration drowning the speaker.
The Good Gear Guide identify the Denon AH-C360 as decent in-ear headphone that is durable and hygienic, that will stay in the ear during workout. Worth a punt at £30
Any Sennheiser is worth a look, especially the PMX 80 that retails at £15. Bargain. Also, I am a big fan of Urbanz's running headphones. Only £10 and are ear-hook earphones with an in-ear feel. A serious bargain for anyone that wants a better fit, and a step up from the generic white apple earphones.
For me, it is important that the headphones stay in at all times, so I've moved away from the in-ear earphones and onto earhook and neckband headphones.
Sennheiser MX 80 are great headphones at £15, the Sennheiser/Adidas colloboration are decent, yet I have issues with the £50 price tag. Not a lot of difference in what they do, so the MX 80 are by far the best to go for for cost. I've ebayed recently and came across Urbanz Hooky's running headphones, which if you type 'running headphones' into eBay, I found them at £6.99. I thought they'd be the tacky sort you get from China, yet they are legit! Fit well, and snug in-ear fit. Great for £7!
I've had quite a few running headphones of late so hope my experience with them can benefit others!
Sennheiser Adidas PMX 680 - Thought I'd give them ago, despite knowing that they were a product of a marketing meeting! They are okay, yet for the price are far to expensive for what they offer. They aren't the most comfortable, as after a few miles into the run when I started to perspire, the sweat was able to access my ear canal and affect the sound, and in all honesty my run. The sound volume controller is not conveniently positioned as I usually have my iphone in my short pocket and lead running underneath my shirt. Despite the volume control having a clip, it does not sit well. Obviously, it was designed for runners with armbands, yet I know a lot of runners run with headphones this way. If you use your headphones this way, then these are not for you.
Sennheiser PMX 80 - This is very similar to the updated PMX 680, yet without the Adidas branding and the hefty price tag. For around £15 you can get a PMX 80 and despite obviously having similar issues to that of the Adidas/Sennheiser collaboration when it comes to sweat and sound performance, they seem more acceptable as they cost £30 less. They are not the most durable, as these broke in my gym bag. (The neckband snapped near the earplug)
Urbanz Hooky - I bought these off ebay after simply putting in 'running headphones'. I never usually purchase unknown brands, yet I thought for £7 they couldn't hurt. I must say, they are not special, no real technological features, yet are simple ear hook earphones that fit really well. I have since gone back to eBay and purchased a pair for my gym bag!
Sennheiser MX 85 Sport II - As you may be aware, I've been through some Sennheisers! They are generally renowned as the go to brand for sports headphones... The MX85 is very good, fits in-ear very well and for around £25 offer better value for money than the PMX 680 and are a better product that the PMX 80.
Philips SHQ4000 - I had these a while ago, and are similar style to Sennheiser PMX 80 and 680 as it is a neckband headphone. Saying that, the earplug fits securely in the ear canal and sweat was never an issue. Good headphones. Amazon selling for £27.99 which I think is reasonable.
If you want a quality headphone go for the Philips. Sennheiser have swayed towards gimmicks and marketing, and forget about true performance.