I love this question the answer is it depends. What format is your music. What is the player. A set of Senns would do you a great deal if you can hear imprefections in sound and your audio is of low bit rate. Therefore if you have 128kbps mp3 it will mean your headphones may show up the low quality. I myself have sony ex71s and can hear the imperfections all the way to 192 and beyond on many songs. So really it is a matter of try before you buy. Maplins are a good place to go to as they often stock a large range of phones.
I would never spend more than 1/4 of the price of the player on headphones as a personal choice.
Ideally you need to try them before you buy.