Most Modern headphones use a 3.5 mm jack to plug into. The MacBook Pro would most definetly have a 3.5 mm jack. Perhaps you are using a older set of headphones. Also try just plugging them in and listening even if it feels like it's not in all the way. Some output jacks are just loopy.
I noticed this, too. Except it's any headphones. They're just really snug. It has nothing to do with the iP. You should probably have posted this in the MB forum.