You can get a [http://www.amazon.com/s/ref=nb_sb_noss?url=search-alias%3Daps&field-keywords=ipod+adapter+volume+control&rh=i%3Aaps%2Ck%3Aipod+adapter+volume+control|small adapter with volume controls] to use with any headset you like. This is particularly awesome if, like me, your ears were seemingly not designed with Apple products in mind (I can't get the earpods to stay in for more than a few seconds at a time).
Some sites also allow you to [http://www.cnet.com/topics/headphones/products/?max-price=45&filter=audio-system-additional-features_volume-control|search headphones by feature set, including volume controls]. Check the specs/reviews to make sure they'll work with your particular device.