Headset with volume control? I know this is not what you are really wanting but most 3rd party after market headphones (sony etc..) come with a small volume control slider on the cord... However this does not control the volume at the device just at your ears!

A remote control in the headphones is a nice to have but it is usually tied closely to the device itself - I had a panasonic walkman years ago with a remote control in the headphones and it had to have a special jack just to work with the device... The nokia headset which comes with the n800 does have a button but what can you really do with that, one press to stop, one press to start etc unless we get into a form of morse code with it for more complex functionality!

Nice to have but definately would not rank too high on my list of must have features!!!