I think you know what headphones are. They need little explanation
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Popular models (price order)[]

Remember, Fidelity is proportional to headphone size
Koss Portapro - $30
AKG K81 DJ - $40
Sony MDR-V6 - $65-80
Grado SR60i/80i - $80/$99
AKG K240 Studio - $93
Beyerdynamic DT770 - $170
Audio Technica ATH-M50 - $199
AKG K702 - $245
Beyerdynamic DT880 - $270
Denon AHD2000 - $300
Sennheiser HD650 - $350
What should I do[]
Aside from going to a store, using your ears and trying the headphones you can use the graphs on this site:
http://www.headphone.com/learning-center/build-a-graph.php
And learn what they mean with their guide to headphone statistics:
http://www.headphone.com/learning-center/about-headphone-measurements.php
Please bear in mind that these graphs can not accommodate things such as comfort, looks and the padding the headphones have (think about it, wearing leather pads for an hour, combined with loud music, can make you sweat - velour pads are much more suitable). Also you shouldn't be worried about looks, unless you are maybe considering some headphones for public use (in which case you aren't worried about sound quality so much as isolation).
Beats, Bose and Skullcandy are not worth it.
The Informational_Images section of this wiki also has some headphone guides