I have exactly the same problem, the best way of describing the problem is that the ringtones sound very tinny, possibly distorted like they've completely lost the bass and much of the lower midrange.
Like Sacha I've purchased 2 ring tones from the iTunes store within my iPhone 4S (Nicki Minay - Super Bass, and The City of Prague Philharmonic Orchestra - Star Trek the Motion Picture), within the store they sound great but as soon as their assigned to ring tones they sound awful. At first I assumed that the downloads must have been poorly compressed or something but I've since confirmed they play great on my PC.
I've also noticed something even more odd, if I use the ringtone as a text message tone on the iPhone one of them sounds great as it should but the other ones won't even play, very strange! I've had a look at the tones on my PC and both are 30 seconds long, and both are compressed to 256kbps at 44.1khz so no obvious differences. I've recompressed them to alternative bit rates but nothing seems to make a difference to the sound quality as a ring tone.
I've since tried both ringtones on my Wifes iPhone 4 and her's exhibits the same problems so not a handset or iPhone 4s specific issue. It sounds to me like a software bug in iOS5?