There is an audio app on market with EQ, amazing called "Audio Player WithEQ".
There is also an audiomanager widget that helps adjust volume levels, but not EQ
afaik.
I found the bundled headphones pretty lame and I too use a pair of Sennheisers CX500s and the audio quality is excellent, as for the in built speaker, its adequate for video but not so good for music, but then why on earth u would want to use it for that purpose is beyond me, surely the inbuilt speaker is just for watching short videos such as Youtube or iPlayer.
Ben