For exercise big cans are not good, nor are In Ear Monitors (IEM), which are the headphones that go into your ear.
But for listening the big cans are hard to beat. Sennheiser 555 are very good teamed with an iPod and dont need amplification, like some of the higher end ones will.
I prefer IEMs and think the Shure E2 are well worth the money, and am thinking of upgrading to the E4.
The old rule for stereos was to spend as much on your speakers as the rest of the gear. This may be a bit high for DAPS but it still isnt too far off.
160Gb Classic, iPhone 4, Ultimate Ears TripeFi 10, 15,000+ songs