Now that I have convinced you that you need headphones (if you are still on the fence, go to the nearest Bestbuy or Gamestop and try on some headphones at the demo booth) - the next step is budgeting for it. There are a range of different options. The prices range from $50 to $300. Keep in mind that any almost any comfortable headset is better than no headset. Features include wireless or wired, battery or chargeable, as well as options for mute and volume controls.
My personal favorite is the Astro A50 Wireless Headset. These are at the top of the totem pole for $300 but work on all consoles, all TVs, and basically anything that has sound. Like the name says, they are wireless and have a charging station which charges with any equipment you plug the station into. The battery life is something like 7-8 hours. It has Dolby 7.1 Surround Sound and are very comfortable to wear. Additionally, it comes with a sound mixer on the right side which lets you adjust the sound on the fly. As if that wasn't enough, this pair of headphones comes with a high quality microphone which can be muted by simply moving it up and away from your face. If you think it is too pricey, think about how much you spend a new phone that you don't need. Plus, Christmas is coming up (and black Friday).
Feel free to check out all the additional options from the following brands: