Having just bought them I might be a bit biased, but the Audio Technica ATH-ES7's sound great on my clip+ (they are still burning in), they are closed so don't leak much sound, look bloody awesome, but come in at around £100.
Other suggestions upon having owned them are the Goldring NS1000 and Koss Porta Pro (however these are open and do leak sound, but sound great and under £20)