I suppose it really depends on what your looking for.
It's hard to find REALLY good headphones, speakers, or any other kind of stereo device for cheap.
There are some things that do come at better prices, but you usually have to do some searching for the good deals.
For a good deal on price, availability, and quality...Look for Altec Lansing. You can find them in just about any good computer supplier (Comp USA, Circuit City, Best Buy, etc etc), and they (usually) won't break the bank.
For something thats more expensive, but definitely works well, look for some of the nice Noise-Canceling phones sold by Bose. You can buy them online from their web-site, www.bose.com. They provide a very nice, functional noise-canceling system, and have good stereo quality...but are definitely more expensive (couple hundred dollars if memory serves)
As is the case with all stereo systems...the skies the limit. You can find yourself REALLY good speakers and headphones if you look around...but the better they are, the more the price sky-rockets as well.
If there is a local audio store in your area, have a chat with them...they can hook you up with all sorts of stuff that I havn't mentioned, give you price ranges, and tell you which and where to find the kinds of stuff your looking for.