I would suggest grabbing a helmet with built in headphone-ear-liners, or if you really like your helmet you can buy the headphone-earliners separately, though they aren't always compatable. I bought a Bern Watts helmet, and I LOVE this thing. The helmet is so comfy it's like wearing a beanie, and you can turn your music up or down with a volume wheel thats part of the cord that plugs into your MP3. Here's what I have:
Walgreen's drug store sells Sony headphones for around $10.00 and another set,also Sony, for about $20.00. Both sound good, but the $20.00 pair are built sturdier,and can handle high volume. The $10.00 pair sound as good as anything I have purchased at Radio Shack.Both are around the head sets. I hate those individual ear headphones. Good Luck!