Headphones vs. little earphones is more of a personal preference now. It used to be that earphones would give very tinny sound and generally were pretty weak, but now, as long as you go for a good name, they're just as good as proper headphones (in sound quality). Personally I've always preferred proper headphones, and I always use them to listen to my MP3 player rather than the bundled earphones. If I'm out, I might use the earphones just because they take up less space and are a little less conspicuous than a decent set of headphones.
Sennheiser are a very good name and as long as you shop around you should be able to get a good price. They've got a
headphone selector to narrow down the range and find exactly what you're looking for. Currys/Comet/Dixons all sell Sennheiser stuff from around £10 upwards. Maplin also have
a range of Sennheiser gear from the cheapest to the top-of-the-range stuff.
Creative are also fairly good, and generally a bit cheaper than Sennheisers, but their build quality is not the best in the world. We've had a few pairs of their headphones break in various ways over the last few years.
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