I use Seinheisser II CX-100 and they are excellent for me.I cant even turn the volume to the max as I would blow my eardrums!
In fact the audio on the N9 is excellent. you can also try adjusting the settings in music to Dolby surround but i seem to get better sound with that disabled. I must admith though that the default NOKIA earphones are rubbish!!

I remember reading somewhere that not all headphones work due to the pin configuration.