STOP PLEASE.  you all need to stop making recommendations before you hurt the man's hearing.
First thing:  Sony MDR-V600, 300, 700.  Yeah I have news for you all, they may look good, but really they do suck, not gonna lie, seriously, most overpriced headphones ever.  In no way are they any good at all.
Grado Headphones:  These headphones are the bomb.  Seriously awesome bass.  THe Sr-125 is sort of the black sheep of the family so don't get it. The previous poster has no idea what he is talkin about.  Just bump up to the SR-225.  But for protablility?? the Grado's are both not very comfortable, not cool looking, and not good for skiing, they won't stay on your head and don't take too much abuse well.  If you must get a Grado get the SR-60, its the cheapest model but seriously rocks.
My rec?  For skiing look at the Koss KSC-35 or 75.  Both of these phones are awesome with serious bass and GREAT for portability.  If you like earbud style stuff, then get either the Shure E2c (cheapest) or if you must spend more than 150 get the SHure e4c. These are in ear moniters. They actually go in your ear canals so thye take a little to get used too.  Apple earbuds suck.  Basically all earbuds suck except for maybe the Sony EX71 or Sennheiser MX400, these are ok, but seriously don't get earbuds
PS don't ever get Bose.  Anyone who tells you the triports are any good has never heard a decent pair of headphones in there life