I highly recommend the Sennheiser HD280 Professional headphones. They ran something like $100 a couple of years ago.

I used them with my Petosa Millennium Ketron XD9 system and they were incredible. Then I used them with my Technics digital piano and I about died! I had been using cheapo Sony headphones for a couple years with my digital piano and the difference between the two sets was absolutely phenomenal.

I highly recommend them if they are still out there (mine are a couple years old).

Tommy