You guys opened a can of worms here. 2005 was my big headphone year. I'm not as into it as I once was but I still got some knowledge.
The guys over at
http://www.head-fi.org/ know a ridiculous amount about headphones. I see some recommendations for Bose headphones in this thread, personally, from auditioning and comparison, I would never use any Bose product unless it was given to me.
The third cheapest and the pair of cans that I ultimately decided to keep were my Alessandro MS-1s. They're basically the Grado SR-125s but modified for Alessandro.
http://www.alessandro-products.com/headphones.html
I love them. I never really got into IEMs because my inner ear is rather sensitive and I don't like things going in. A friend of mine recently asked me to put together a decent gaming and music listening PC rig for him. Some of the best places to find deals on headphones, particularly Sennheisers are NewEgg.com and ZipZoomFly.com. I recommended for his purposes and price point, Sennheiser HD555s.
Like any hobby there is a lot to it. One thing most people don't think about with headphones is a proper amp. It makes a HUGE difference in the sound.
http://tangentsoft.net/audio/cmoy-tutorial/
That is a really good beginner amp. If you're not too picky about building it yourself or having it be brand new, then
http://www.head-fi.org/forums/forumdisplay.php?f=55 that is a good place to get an amp for a good price.