I'm not trying to sound condescending here (it's always hard to tell in print), but I would have thought that the answer was obvious.
I use a pair of IXOS "Ministry of Sound dj1003" that cost about $100US. These do the job fine, but if you have the cash, fork out on a pair of Sennheisers. As far as I know, they start out at a couple of hundred, and can cost up to about a grand. Don't quote me on that though! I tried a pair (I can't remember what model) that retailed for about $500US and they were the most comfortable headphones I have ever used (essential if you are monitoring for long periods of time). They have a beautiful sound with dead flat response. If you are richand you have everything else you want, fork out a couple of grand on a "Musical Fidelity" Headphones preamp and hook its input up to line out. Ah, we can all dream can't we?