By rule of thumb, I follow this list of elite phones:

In-Ear phones: Sennheiser, Creative, Sony
Normal Earplugs: Sony, Creative, Sennheiser or some occasional Philips
Over Ear headphones: Bose, Philips, Altec Lansing, Sennheiser
Neckphones: They're gay.... >_>

As for the model... if you're an audiophile, then you'll not be satisfied by what others tell you. I suggest that you decide your budget and go and try out different headphones within that budget. Use the above guide if you want, but its my preference and in no way an expert opinion... also the fact is that I don't have much of a variety here.... sadly..

I currently use:
In-Ear phones: Sennheise CX180 (cheap stuff, but pretty awesome... quick replacement for my broken creative.. will be buying better Sennheisers later on)
Over Ear:  Philips SHP2700 (pretty decent and cheap)....