I think you definitely get what you pay for when it comes to headphones. Some of the kids headphones around my house are really poor quality.
I have also bought headphones at the dollar store when I want something that is inexpensive and I don't mind if I lose them.
Personally, I don't like ear bud headphones, so look for something that I can wear over my ear. I also try to keep my good headphones away from the kids because they can be pretty rough on them.
We have some wireless headphones our kids use in the car when they are watching a DVD. They work good in a situation like this, and are adjustable to fit most heads.
The only complaint I have is they hurt your ears after you have been wearing them for awhile.