When I'm on the move, I pack in-ear buds. Skullcandy makes the best: inexpensive and really great bass. My favorite are the Titans (http://www.amazon.com/Skullcandy-Titan-S2TTCB-047-Black-Chro...) but even the entry level Ink'd are a huge step above any other buds at that price point.
And people actually use the white Apple buds? I can't even keep those in my ears as they just fall out constantly.