I have a pair of Skull Candys, they are really bad.
If you want something cheap and light for jogging/training and stuff get some Koss PortaPros, they are cheap, sturdy and sounds ok on a iPod.
Most good headphones can't really be powered by portable devices, and I really like Grado SR Series, but they aren't really portable, and some people feel they are uncomfortable, I keep them at my stereo.
For gaming I uses SteelSeries Siberia 2.0