I like headphones that have volume controls built-in. That means I don't have to fumble my phone or MP3 player out of my pocket to change the volume.
I bet there are lots of people out there who have a favorite set of headphones or earphones that lack inline volume control. The good news is that over on Instructables there is a new project that walks you through building your own volume control.
The project needs a male and female headphone adapter, solder and a solder gun, along with some parts you can probably strip from other headphones around your house. When the project is finished, you can control the volume on any headphones or earphones using the DIY gadget.