Headphones are pretty big and bulky, they're good for when you're gonna be in one place for a while or don't move around too often. For that, I have a pair of beyerdynamics, they're semi-open headphones that sound great. But they're a little heavy and unwieldy.
For a lot of traveling and whatnot, I highly recommend the Yuin line of headphones. I've got a pair of Yuin PK3s and while they may look like ordinary headphones, they're ruggedly built and pack a surprising audio punch. They sound amazing for costing $39 or so. You could upgrade and get the PK2 or PK1 for 79 or 99 dollars, respectively.
Or if you prefer in-ear monitors, their OK series is fairly good as well. I can personally attest to the quality of the PK2 and PK3s. But if you search online, like on head-fi or any other audiophile forums, you'll find a whole lot of love for the Yuins, too. They're not very well known, but they're absolute quality.
But yea, search around head-fi a little bit, and I'm sure you'll find everything you're looking for and a whole lot of info on possibilities for what you may want.