It's not only with Nokia that the default earphones have mediocre quality at best. I used the Sennheiser PX-100 and PX-100 II. Both pretty good for its price.

After I had to have my N9s earphone jack repaired, I got myself a Sennheiser PX-210BT Bluetooth headphones. They're pretty good though not as great as a cable headphone. As I'm mostly listening to Podcasts, I'm okee with that.

Though, for music, I use Sigma Player and its great Equalizer function. Try it! Just one advice: The presets amplify the sound to make it louder and more often than not distort the sound. Just reduce all levels in the equalizer accordingly and you get really good sound out of the N9.