I have a IPOD Video and the factory headphones are horrible.
What are your recomendations for replacements keeping in mind that I use this for gym and jogging duties so they have to be small and light (and I'm on a budget unfortunately)?

 

I have a pair of Shure E2c earbuds that I picked up for about $75. AMAZING sound given that they are earbuds. If you are really on a tight budget, there's not much under $50 that is appreciably better than the iPod ones, sadly.

 

I use these, even though I don't have an Ipod, but they are fantastic:

http://store.apple.com/1-800-MY-APPLE/WebObjects/AppleStore?productLearnMore=M9394G/A

The rubber ear pieces are changeable with 3 sizes included with the headphones, and are great at blocking outside noise. Great sounding headphones but sometimes they are difficult to keep in place.....

 

The Shure E2C are very good. The upper end models of Shure just get better.

The stock performance of my Nano ear buds is not too bad. They do have to be crammed into your ear far to get good bass.