I use the more expensive Apple earphones with the little rubber buds (why these don't just come standard I don't know - well, yes I do it's to maximize profit).
I hate the earphones that come with the iPhone. The "other" Apple earphones stay in my ear much better and sound reasonable. Of course they have the integrated volume and mic also. My only beef with them is the little rubber buds kept falling off (and Apple doesn't sell replacements), I finally ended up putting a dab of rubber cement on the little shafts and thus glued the rubber buds in place. Have not had one pop off since.