I know these aren't "official" iPhone accessories, but I bought a set of these several weeks ago (had $40 in Best Buy Bucks to spend, so basically I got them for free), and I totally love these headphones:
Skullcandy Smokin' Buds
Staples sells these for $19.99, and they are TOTALLY worth the price. They were even $9.99 on Black Friday, which is a great deal. I've owned Shure E2Cs and E3Cs, and these Skullcandy headphones sound just as good as those did, IMHO, at a fraction of the cost. The only thing I don't really like is the angled plug, which is a problem with the iPhone; actually, the plug doesn't work, and you need to get an adapter. Which brings me to my next point:
After getting my iPhone and finding that they don't fit, I went on the hunt for an adapter. Found an eBay seller (accstation) who sells the adapter, a travel charger, AND a car charger for the iPhone for $1.99 + $6.99 s/h = $8.98 total. That breaks down to basically $3 per item, totally worth it. The headphone adapter works great; the travel charger lets me use my base with it, and that leaves the detachable USB cord that came with the iPhone free for me to use to connect my iPhone to my laptop when I'm modding, and the car charger is something I was looking at getting anyway.
Link to auction for all three items (which is what I bought)
He also sells just the headphone adapter for
$0.49 + $4.94 s/h = $5.43
Honestly, though, for only $3.55 more, I don't know why people wouldn't buy all three items and get JUST the 3.5mm headphone adapter.

I mean, everyone can use a car charger, right?
I am in no way affiliated with that seller nor do I get anything by linking to his eBay stuff. Just passing along what I found.
Headphones: Free (after using my Best Buy Bucks; they'll cost you $19.99 + tax LOL)
Headphone adapter: $8.98 shipped
Listening to my iPhone with my favorite headphones: priceless
