The trick is to read reviews when deciding what phones are right for you, if the review is more than a page in length it is worth considering, there is usually enough info to tell you exactly why they gave it the review they did. Should you find something offering a comparison then you have really hit the jackpot. Go over it carefully, There are several posts of this kind here.
As for the major differences in headphones there are some I can think of: comfort, sound quality, and sound dampening. Comfort is important for obvious reasons. As for sound quality it is usually true that the more you pay the better it gets, however there is a problem with this, After a point the sound quality of the headphones becomes irrelevant because of the sound quality of your source, As you are using a iPod shuffle I assume that you are using iTunes, and that you are using 128mbps MP3 encoding (iTunes default), at this quality nothing over $100 will make much difference. The final thing to consider is sound dampening. This comes in 2 forms: Noise canceling and sound isolation. Noise canceling uses batteries to add sound that interferes with and eliminates much of the outside noise such as airplane sound and car noise. But has little effect on voices and other disturbances. There are numerous companies that do this. Sound isolation however is a totally different thing, it places the headphones inside your ear and physically blocks all noise. There are only three companies that do this being Shure with the e2c, e3c, and e5c; Etymotic with the er6 er6i and the e4 series; The final company is ultimate ears but their phones are custom made and have a bottom line price of $500.
I Have done extensive research through reviews and product manuals on the various sound isolating models and intend to purchase either the shure e2c ($80-120) or Etymotic er6i (110-150) shortly. As has been said before if you are happy with your stock headphones keep them, but if you want something more, Such as sound dampening I would look at the 2 models I am considering. Good luck!