define "not too expensive" because you can range from headphones that are as cheap as US$10 while there are headphones that can reach as high as US$1000.
personally, i went with sony mdr-ex71 last year and within a few months, they started to rip up. however, for US$50, they are of pretty good sound quality, just not of pretty good build quality.
currently, i have shure's e2c headphones which are really good headphones, but as for comfort level, they can be debatable.