Based on Loren's recommendation, I bought a pair of Sony MDR-EX70LP headphones. They came in today, and they are great.

They are ear-bud headphones with soft gaskets to seal them into your ear openings. This allows them to get a bass response that is much lower than any other ear-bud headphones I've ever tried.

They also block external noise quite well, so if you don't want to be disturbed while listening to the music, they are perfect. I even read one review on the web from a rock guitarist who was planning on using these as on stage monitor headphones because of this feature.

I've tried a variety of music through them and they handle everything quite well, down to the lowest notes on Crystal Method's "Vegas". The low end response seems quite smooth and flat, surprising for earbuds this size.

I have not yet tried connecting them directly to the empeg's line-out jacks because I don't have the correct adapter with me to try it.

I purchased my pair from http://www.etronics.com if anyone is interested.