You can't really compare headphones based on money alone, it's mostly about 1) how well you can hear the difference, 2) what model you get, 3) what kind of sound signature you prefer, and 4) what kind of music you listen to, generally.
For a first-time all-around headphone, though, I would suggest an Audio-Technica A500, AD500, A700 or AD700 (the D versions are open headphones - this means they leak sound, but have a more open sound and a better soundstage). Most people prefer the closed versions, but it really depends on where you're going to use them, really. Audio-Technica makes fairly balanced headphones that are great for movies and gaming, as well as music.