I thought headphones were headphones but obviously not, I plugged my Sennheiser CX300's into my HTC Desire reception was totally dire, couldn't get damn all, Plug in the supplied headphones and reception is great Problem being they are not in ear and fall out, so any recommendations for in ear head phones with built in FM antenna?

Thats surprised me. I know SE only allow you to listen to the radio through wired earphones (as opposed to BlueTooth headset) as "the cable acts as the FM antenna" but I never realised that it was actually different.
That is the advantage with SE though, you can plug any earphones into the cable so your situation would never arise. No good to us who use BT stereo headsets though!

I get bugger all on my supplied ones, I've given up with the radio.

The Desire's radio is several times better than my old N95 - I could be within a couple of miles of the transmitter, with line of sight, and it'd still hiss and not be in stereo.

I can get excellent reception with a pair of headphones with an extremely long cable - but that isn't entirely practical outdoors.

The supplied headphones will have a dipole (simple antenna) built into them and wired in such a way as to provide the receiver in the phone with a good enough signal on the particular wavelength.

Other headphones won't have that. Simple as.

My Nokia 5800 came with an adaptor lead with remote MP3/Radio controls which acts as the aerial and into which I can plug any earphones I choose. Seems like a more sensible way of having it.

I have the same set up and it works...
Though when I tried 93.5 for radio 4 - nothing but OK on 92.5, same result on my Roberts radio.
How many frequencies have you tried?