Good sound depends on both the input source (MP3 Player) and the output source (Headphones or earbuds). Most audiophile sites will advise you to allocate a part of your budget to buy a good pair of earphones to replace the stock earbuds that come bundled free with an MP3 player. They even advise combinations that work depending on your input source.
I have found that this is true. Spending even a minimum amount on good earphones can truly deliver more listening pleasure. Unfortunately, we do not have too many options in India, even in a city like Mumbai, for buying audiophile quality headphones. Those who travel to Singapore, should visit Jaben Network at the Adelphi. This fascinating shop is tucked away in a corner of a mall devoted to music products and is worth a visit for the sheer joy of experiencing the best headphones and earphones in the world; you can try anything before you buy and the owners are happy to spend time helping you find what you want. I'm sure Jaben will also ship to India; they are a little too busy to respond to mails but you can make a phone call to place an order and transfer money through paypal to get your chosen headphones Fed-exed to your location.
So what are the options in India? I was pleasantly surprised to find a decent range of headphones at The IT Depot. They have a full range of Logitech Ultimate Ears headphones (I own the UE TripleFi 10, which are two years old but still the favorite of many audiophiles). Of course, not everyone would want to spend Rs. 20,000 + for earphones!
To get back to IT Depot, they also have a decent range of Beyerdynamic, Sennheiser and Audio Technica phones. I do hope that they are getting a good enough response and will continue to stock them.
Shure makes some fantastic earphones, especially the flagship SE530, which continues to get selective rave reviews, but it's hard to locate a seller. You can contact The Sun Goup, based in Delhi, who are listed on the Shure site as sole distributors in India, but they do not appear to sell online.
I will update this post as I find more stores, meanwhile, if anyone knows a few, please share!