Just look at pictures of Spielberg during production. He's always got a pair of cheapo non-enclosured headphones around his neck. When you're on set all you're trying to do is monitor levels, noise and clairity, not things you need particularly accurate phones for.
I have a pair of AKG K240 headphones that work like a $400 pair. They're considered industry standard for audio mixing, so they're very accurate, but they're open-aural (for increased bass response) and I doubt you really need that kind of thing on set. Get a pair of isolation headphones, I find it's so much easier to monitor levels when you're not getting ambiance around you.