I've listened through the Droid using: Yuin PK3, UE triple.fi 10 Pro, Shure SE530, and Monster Turbine Pro (Gold).
The Droid X is a decent music player, but compared to the Sansa Clip (arguably one of the best SQ players for its size and price, along w/ some models of the iPod Shuffle), it's rather flat in its frequency and not very lively. The PK3 and triple.fi were the best for me because they added the pinch of high-end sparkle and livened up the mids a bit.
So my personal recommendation is to just buy a tiny Sansa Clip as a dedicated music player, and only use the Droid X as a music player if you really need to. Plus, having it be in your pocket like that...I'm always afraid that if I lift up my leg high enough, the headphone jack will break something inside of the X, being bent around like that.