For an inexpensive upgrade, consider the Creative canal phones (should be under $40 with shipping; I like these in their category). For a still reasonably priced (and more significant) upgrade, consider the Etymotic ER-6i's (should be under, or right at, $100 with shipping; is good isolation OK for you at work? ... I've grown to like the foamies).
I've suggested in-ears, while others have suggested "real" headphones. You didn't stipulate a need for portability or isolation. I can say that the PortaPro 2's sound surprisingly good, considering the low price -- you won't look very managerial or serious at the office with them on, though, if that's an issue for you ... but they're really light and portable. The Sennheiser px100's look "professional" enough -- I haven't heard them, but they get good user ratings here. Or you could consider the closed AKG portable DJ 'phones -- I haven't heard them, either, but there are some good things said about them, although not to the extent as for the open Sennheisers.