Do you want earbuds or in ears? In ears will cancel out sound better. Honestly I've never heard a earbud I thought sounded even acceptable until the Yuin PK series but those are expensive and even then not that great. On the other hand I think lower end in ears are acceptable, I like the Klipsch Image S2, they're bass heavy but decent sounding and can be had for under $40. The Denon AH-C360 is another option that's under $40, I haven't heard them personally though I hear they're like a S2 with a bit more in the highs.
A price limit would help, though if you want to go under $30... there's no real choice that stands out in my experience.
The original Zune in ears are a lot like the S2 and AH-C360, a bit bass heavy but much much better than normal bundled earbuds. You may have a hard time finding a pair though.