Oh god how headphones suck. I've had plenty of really high end pairs costing $100 up, AKG, Sony etc but regardless the ear fatigue just kills me not to mention the annoyance of the cord, them falling off if you start to get into the music, my ears getting all sweaty, starting to get the dreaded cauliflower ear etc.
Id say find something with a small speaker you can use as whisper volume over relying on headphones.