It really is magic. Every single headphone or earphone can be improved very very much just setting the eq properly. I'd say that a flat eq, which is the default setting (no equalization) sounds bad with every song. There is no song that sounds better with a flat eq than with another.
I am an audiophile. Fortunately, this is not something where you necessarily have to spend much money. With good not very expensive headphones you can go (assuming you have a computer).
The basics are headphones and a good player. I'd add some computer program to process the sound from the player, before it goes out. I really consider it's a basic essential thing for audiophiles, but let's simplify this in what I said before.
Apart from the headphones (which is something very important, so you have to be careful when buying and read a lot in the Internet, but again, you don't have to spend too much), is the player. It is not allowed to use Windows Media Player or iTunes. You need a real player with a powerful equalizer.
That's the point to start.