grados are supposed to be real good value for the money, ie. they can't be beat. I, unfortunately cannot use open air headphones because I like keeping my music to myself, so I have some Sony V700s and MDR7509, both are decent headphones, and both keep your music yours. (If the record companies have a problem with music sharing they should outlaw open air headphones in public too ehehe, jk). I also hear good things about Sennheisers. Bah, don't listen to me, go to the head-fi forums, lots of flame wars though, especially over the headphones I own. It's all a matter of preference of course.
Sorry for the sporadic capitalization