oh. Well, if you're talking sub-$20 ear buds, you probably aren't going to improve much over the Zune buds. They are higher quality than I expected (and higher than the ipod buds that replaced my Zune).
If you want higher end solutions, I am not that familiar with buds and canal phones (I assume Shure, Denon, etc. are making good products). I can recommend Koss PortaPros for around $35 for outstanding sound quality and strong bass. I moved from them to Grado 60's (around $70), and I love the Grados. But both of these sets I mentioned are on-ear phones, not in-ear.