The Sennheiser MX500 or 400MX (they are mostly the same) are the cheapest way to go, and you'll get the most bang for your buck (or so I'm told...) If you do a search for them on this site, you'll probably find a good deal of info relating to this. I believe you can get them at Amazon for something like $12, and if you get a CD to go with them you get free shipping.
A little bit pricier are the Sony MDR-888 earbuds. These are said to be slightly better, but about 5-6 times more expensive than the Senn MX500s.
If you need isolation, there are alternatives from the Etymotics, though if you will be going the ear-plug route, I would say that you might be better served just getting the Etys. One alternative is the Sony EX70, which provides some isolation and is cheaper than the Etys. For more in-depth comments on any of these, do a search on these boards and I'm sure you'll find lots.
Of course, the other thing to consider is earclip headphones. If you don't mind using earclips, then the Koss KSC-35 or KSC-50 are the way to go. They give really nice sound for the money and convenience. Hang around these forums long enough and you'll see that ever so clearly. Most prefer the KSC-35s because they fit a bit snugger and therefore give a little more bass presence. The KSC-50s are a little bigger and more modern looking, but hang a little looser. The 35s are a discontinued model and you will have to scour a bit more to find them. Both are fairly cheap... the 35s around 20-30 if you can find them and I got my 50s for $12 from Amazon.