An interesting bit I wrote on a new study that measured the frequency response (using several methods) for lots of different headphones. They used an artificial head and ears, so there was no "human preference" factor.
What they found was that there was no correlation between price and quality.
Note that this doesn't mean $15 headphones will sound as good as $200 headphones. Nor does it mean that you should just buy cheap headphones - you have build quality, durability, comfort, and style to consider. All this study says is that for accuracy of sound in particular, there is no direct correlation with price...(all more expensive headphones are not more accurate than all cheap headphones).
Your best bet for buying headphones is to buy something comfortable, durable, and with as much accuracy as you can afford. Different people prefer different sound profiles, more bass or more mid-range or what-have-you, but you're best off just buying accurate headphones and then using an equalizer to get the sound you want.