You probably should decide what you want them for: tracking or mixing. Open-backed headphones are more natural sounding and generally more comfortable than closed-backed, but can leak into a microphone - not good - but they allow you to carry on a conversation easily while wearing them. Closed-backed are better for keeping outside noise from interfering with the sound. If you have trucks or airplanes close by while you're mixing, you probably want closed-backed for most things.

I still use the Sony MDR-7506's. They've been a studio standard for years. They're closed-backed so you can use them for tracking without leakage. They're also a bit hyped in the upper mids, but that makes it easier to hear things like cymbols, sibilance, and reverb trails.

I also use AKG 240s for mixing. Open-backed and comfortable for hours. Very natural-sounding.

Both go for about $99 most places.

When I was at NAMM, I tried some of the more expensive Ultrasone 750s ($400!). They sure were good sounding - whether they were worth $400, I don't know. They were what I'd call "effortless reproduction" - smooth and as loud as you'd want. Ultrasone makes both closed and open-back headphones.

At the other end of the scale, I also recently bought some iPod-style earbuds for $20. They are hyped in the midrange and in that respect are great for hearing midrange detail to see if you have too much sibilance or cymbol splash.

I switch headphones when mixing quite often.