The headphone port on the iPhone is recessed, so most 3rd party headphones will not go in all the way. This was the problem with my Shure E4G earbuds. I could have bought a $10 adapter just to use the headphones that I like, but instead I did a bit of modding and managed to get them to fit.
As you can see, all I did was scrape off some of the insulation surrounding the jack using an exacto knife. The headphones that came with the iPhone are on top for comparison.