There is a slight problem with my headphones. It's fairly noticible and kinda annoying. The right speaker on the headphones its quiter then the left..

So I was wondering should I take the headphones into the apple store where I bought the iphone and try to return it for a new pair? Anyone know if that will work?

any suggestions thanks!

that might work... were your headphones dropped ? did it beat a wall or something ? If not, its strange...
what you can try:
play other sounds/musics (some musics play the righ/left speaker louder than the other)
try to use the headphone in other mp3 player or something like that...
make sure it is really connected to the iPhone, once, with my iPod, I thought there was some problem, and the headphone looked like connected, but it was missing just a lil bit...

If your headphone is really ''broken'' I think you should try to trade it for a brand new one in the Apple Store...