Upgrading the iPod's headphones
The Evening Standard reported a short time ago about the attraction of the iPod's shiny white headphones to thieves - i.e. Hello, I'm a big show-off with £400 in my pocket
. Indeed, such reports led Gary Parkinson from the totty with gadgets technology magazine Stuff
to say:
You really are an obvious target if you use them.
So, with that in mind, replacing the stock headphones also gives you the opportunity move up to some even better ones. I've been using the snappily-titled Sony MDR-EX71SLB Fontopia Headphones for about a month now, and can't rate them highly enough.

The earplug form factor is a little unusual at first, but it's soft and comfortable in the ear and has the added bonus (OK, unless you're a pedestrian avoiding traffic) of blocking out almost all external sounds that helps to give a good deep bass response.
On the downside, they're not particularly cheap, but all the money does get you probably the best in-ear earphones you're ever likely to come across. (The link above takes you to Amazon.co.uk, where I picked mine up for around £27).