I long wrestled with the same issue. I hatehatehate those big muff headphones. They're heavy and *really* hot in the summer. So I've been completely happy for 10+ years using a set of high-quality Walkman-type headphones. They're lighter and will still let you hear what's going on around you well enough -- which is an important thing out in the woods, where you never know when a rotted overhead limb gives a crack and wants to fall on your head. I use a pair of quality Koss headphones (price around $25, available at places like Best Buy or Target) with my 2 detectors; you just have to get something called a 1/8"-to-1/4" adapter plug at an electronics store like Radio Shack so you can plug them in to your detector brain box. The one problem with Walkman-style phones is that their cords are spaghetti-thin and not exactly durable, so they have a tendency to get hung up in bushes and brush and stuff. Most brain boxes have a hip-mount bracket/clip on their underside, so I just tuck/wrap the excess cordage into that.
The important thing with Walkman-style headphones (or ANY headphones) is to read the specs on the back of the package before you buy. You want a pair that'll "hear" the lowest and highest KhZ range. Your detector's user manual will tell you what KhZ it's set for, so you want a pair of 'phones that will "hear" your detectors voice, at minimum. As for the volume thing, there are external ones you can get, but IMO, that's just one more thing to get snagged on out in the woods. My detectors don't have volume controls either, so I just move the earpiece thing back off my ear a bit so my eardum doesn't get blasted, but I'm still able to hear every signal coming thru, even the quieter ones.
Other than that, stay away from earbuds. They're more trouble than they're worth, IMO.