[quote name='bmachine']It's unfortunate that you don't like earbuds: the sound quality of the Zune "premium" buds is fantastic after a few hours of breaking them in.[/QUOTE]
the "premium" buds are not included in the zune hd, only older models.
Try some Creative HQ-1400's. I got my pair directly from Creative for $32 shipped. They aren't the best of the best, but they are really nice for the price, and will fit larger sized heads pretty well.
Sennheiser HD201's. You can get them on Amazon for like $20 shipped. Best cheap pair of headphones you can buy. They don't have really great lows, but the quality is still excellent.
These are the Zune premiums that USED to come packed in with the Zunes. I absolutely love these; solid sound and a comfy fit. Blocks out a lot of outside noise so I don't have to crank the volume as much as normal- a godsend for the noisy gym. I also love the fabric cable instead of the normal plastic.