For a few years now I've found myself increasingly using a headset while playing radio, sometimes to mask any background noises such as the television when my girlfriend is watching it or to help hear those weaker stations, especially those when in a contest.
There are a number of brands aimed at the amateur radio market which come usually at a high price but a brand that I've been using can be bought quite cheaply online. I recently bought a replacement set of headphones made by a company called 'Natec'. The original set were called 'Natec Grizzly', a comfortable headset which are still working well and will be the backup headset to the new set called 'Natec Toucan'. This new headset is very comfortable and judging by the reports I receive they are equally as good as the previous set.
I'm sure there are many brands out there that like the Natec brand are aimed at the Skype user or PC gamer and are much cheaper than equivalent sets aimed at the amateur radio user but for the price I paid, approximately €15, they represent excellent value for money.