Phil
Make sure you understand that headphones are like speakers. They have their own sound signatures and you have to figure out what suits your equipment and music tastes. Everyone has their own favorites, as you can see here. And as Peter mentioned, it will also depend on what your source equipment is. Portable players won't do justice to many 'high end' headphones and you might be wondering why $$ phones don't sound good.
Also, try to figure out if you really want headphones or IEMs (in ear monitors). In general, IEMs are easier to drive and there are LOTS of good options under $300. In fact, IMHO, some of the best values are under $100 for that stuff. IEMs also have their own signatures, probably the reason why I have 4 different sets...
