I have had 2 sets of Shure headphones that I have used with my iPod. I originally bought the E3G, which is a very nice headphone - very clear, well-extended bass without being boomy or over-emphasised, and detailed treble. I don't think Shure make them any more, but it was an excellent upgrade over both the standard iPod headphones and the Sony MDR-EX70 canal phones I'd been using.
Then, earlier this year, Amazon halved the prices on a lot of their Shure headphones, and I treated myself to a set of the top-of-the-range E500, which even at half-price cost as much as the iPod. I wasn't expecting them to be that much better than the E3 - I was wrong. They are the best headphones I've ever listened to, and are as much of a step up over the E3 as the E3 was over the stock earbuds. They sound a lot more rich than the E3 - the E3 sounds a bit weedy in comparison. If you can find a set going cheap, I'd thoroughly recommend them.
One caveat - the Shures need to fit really well to sound good. I found the foam sleeves sounded better than the rubber ones. Also, they really benefit from being broken-in - the E3 in particular sounded pretty bad out of the box, and I spent a week wondering if I'd made a dreadful mistake, but they improve noticeably after a few hours use.