Koss KSC-75 Headphones ($15, Amazon 4 stars, 693 reviews)
Very portable, very light, good bass, highly rated on head-fi.org, extremely cheap. I wear them instead of earbuds because I don't like things inside my ear, and the open air means I can still hear stuff around me, so they're even good for work. Very comfortable over long periods.
I have often benefited from recommendations for Things I Didn't Know I Wanted.
Given that Less Wrong is a community of unusually intelligent, critical, and self-improvement-focused people, I suspect we can generate a pretty helpful thread of product recommendations — perhaps even a monthly thread of product recommendations.
Rules: