I’ve been using a set of Yamaha CM500 headphones for shortwave radio listening for a couple of years now. They have great audio characteristics for both AM and single-side band listening. They’re very comfortable on the ears and can be worn for long periods of time.
If you’re an amateur radio operator, you’ll be happy to know that the CM500 has an excellent built-in microphone (I write a bit more about this on QRPer.com). Of course, these can be used for a number of other computer applications like Skype.
For a limited time, you can purchase a set of Yamaha CM500′s on sale at Sam Ash music for only $45 US. The regular price is $55 US (still a great value). I am very tempted to buy a second pair while they’re on sale.