Grado Labs, minimum SR-80 for just under $100, anything model above that is worth it, but don't forget to have a halfway decent headphone amp. I often encounter really bad headphone amps, it's a typical item for companies to skimp on. And when I say bad, I mean stuff like the left-right balance changes as you turn up the volume because the channels aren't ganged correctly at the pot (volume knob). Headphones are overly revealing, and it takes a decent amount of practice to get it right, and should probably never be done exclusively. Don't forget that we use more than our ears to hear with. We detect the source of a low frequency just as much with our skin as our ears, and the loss of that input is hard to overcome at first when evaluating the low frequencies.
Also remember that many headphones need up to 100 hours of break-in before the high frequencies mellow out, so you can't really know if you like your new pair right off the bat. You have to break them in.
For the last 5 years, my company has been hard at work making audio
exclusively for headphones. There is an interesting free demo at
http://www.naturespace.com, and we have a free iPhone app as well. I don't mean to put this in as a shameless plug, it's really that there is a lot of information about headphones and sound in general that I wish to share. Headphones are my passion. And I used Logic to make everything I have done.
It is likely that if you pursue headphones as a monitoring tool, that you will ultimately buy several pair before you find the ones that
you understand well. But they are a lot cheaper than speakers. Just don't skimp on the amp. Very important for clinical use.