EDIT: Ok some days I am a little slow... If you want the opinion of someone who actually knows what the heck they are talking about go to
http://headphone.com . That (and Guitar Center) is where I bought most of my headphones from. I stand by my opinion below but have to admit the staff at headphones.com know more than I do.
Bear in mind this is a somewhat objective thing. Below are the cans that I own or have owned. I will spare you the "great sound stage with weak mid range" kind of comments because I have no idea what the heck it means.
I mix and do some sound engineering, but at best I am a talented amatuer.
Low End (though still high quality)
- Sennheiser HD 25-SPs (around $70) these have the benefit of being fairly small for over ear headphones with reasonably good sound reproduction. They are small enough not to be embarrassing in public, these are not for studio work though. I would start with something like this and if you feel the need for better go to a music shop (or studio if you have access to one) and see if they will let you try different models out.
Mid range
- Audiotechnica ATH-M40fs (~ $90): Studio cans but not the best. They have a very flat response so if you are used to "high-fi" equipment the Bass will seem a little weak. This is not a fault in the headphones though but a reflection that consumer hi-fi equipment exaggerates bass. These I use as monitors for guests. Good enough to do the job but not so expensive I am scared of them being damaged by accident.
- entymotics R <something>, sorry I can not remember the exact model. (~$200) - these are in ear headphones with good sound reproduction but excellent isolation, really blocking out external noises. They come with different shapes to form fit to your ear canal. Unfortunately I discovered that prolonged use of in ear headphones cause me to get disoriented and nauseous so I sold them soon after I got them. This is not a common problem though. If you want a set of headphones that are not embarassing to wear out and about but good enough for mixing these are a decent choice. Just do not go out in traffic.
High End (This range is approaching being wasted without a high end sound board, though they will sound better even over built in sound)
- Sennheiser HD-590s ($220 when they were available)- studio headphones with good separation (picture being able to hear the individual rasps of Tom Waits' voice) These are large though, not ones you can wear about town without embarassing yourself. They used to be my cans of choice before I got the 880s.
- Beyerdynamic DT-880 ($250) - Some of the best studio cans out there. There are better but generally you are going above $500 for a set of headphones that you would need truly high end equipment ( something like a MOTU-828 or Hammerfall) to tell the difference with. These are my in home and studio headphones of choice. Be wary on listening to MP3s except very high rate ones with these cans though. All the compromises in the sound will become apparent.
Headphones I have never owned but hear (no pun intended) good things about.
- Ultimate Ears ($600-1000): These are in ear so for the reasons above are not practical for me. They are supposed to be the best in ear headphones money can buy though.
- Grado headphones - this is a sweeping generalization but if you are predominantly a rock musician these are worth considering. I did not like them the few times I tried them mostly because they exaggerate bass too much for studio cans in my opinion. It gives a "punchy" sound to me, like when you are in a club and you can feel the sound pressure from the beat. Not sure how else to describe it. Generally this is good for casual listening to Rock though.