I'm in possession of a pair of
Koss KSC-75s. The Koss portable range is quite highly regarded as good value for the money, and I'm pleased with their sound and portability. They're USD$20, with some other models around $30.
Sennheiser also make some nice portable headphones. Their PX-100 model is usually well reviewed for its USD$40 pricetag, and the PX-200 and 250 are closed variants of that headphone.
Perhaps go and read a little
Head-Fi as you're likely to get a few well-informed opinions over there... and some recommendations for insanely expensive gear

.