I can't buy headphones without trying them out first. I find it's a very personal experience and what sounds good and is comfortable for one person is the next persons headache.
Most headphones that come with a portable are shit. And most headphones (even "good" ones) sound like crap when driven from a low power source like a portable. I ended up getting a set of Alessandro MS1's :
http://www.alessandro-products.com/headphones.html
They sound fantastic (tons of bass), even from my mp3 player, and are a great deal for the money but are too big if you are planning on moving around with them on. I bought a set of Koss KSC35's (only available form the website) for portable use. Again, great value and a decent sound.
The Shure E2c's get mixed reviews. I have never tried them so I can't say from personal experience. Generally I don't like in ear headphones myself. I find them uncomfortable but maybe I have a small ear canal or something.
They are lovely and small...