I received my 3125 today and have spent a few hours playing with it. I must say, regarding the headest and jack: It's good, it's very good. I was surprised. Nice bass, and nice highs. The in-line volume control works well. It looks like any other POS add-on headset, but the sound that comes from it is quite nice. As for this being a good mp3 player, I have to say 'yes' , it is. Better sound than my Creative MuVo.
So, with the issue of the connection being a proprietary jack and all, I think I'm going to stick with it for now. I can't justify spending $24 for a little adapter that should cost $3 at the most. My only complaint is the wires are a little stiff and lack the managability of better headsets.
Now, if I had a set of $200 Shure's, I would probably spend the $24 for the adapter, but then again, it is a good player, but doesn't justify $200 headphones.