I've been using a Pocket Rock-It for a year-and-a-half and the best headphones I've used are nowhere near as expensive as that. In my opinion, a lot of these "premium" headphones add an extra digit to the price and justify it by plastering some artist/producer name on it. Also, I'm dubious about the whole "noise cancellation" schtick in the headphone market. And don't get me started on Bose.
(no highs…no lows…it's gotta be Bose) 
I get plenty of decent use from a behind-the-head strap set of old (late 90's vintage) Phillips headphones, but unfortunately they don't make them anymore. So when I went out to buy a back-up set, in case something happened to my Phillips, here's what I look for;
1. Behind-the-ear/wrap-around headphones with one unified cable coming off the right side. This is so I don't have two cables fighting for slack or catching on me or my bass on either side of my head. I just let it hang down over my back and shoulder, not between me and my bass. It's also the side my Pocket Rock-It is on. That is, unless you play lefty, in which case, reverse that. Some DJ-style headphones have the single-cable feature to, which brings me to…
2. Over-the-ear vs. earbuds. Personally, I like the larger hardware. I like my whole ear to really "feel" the lower frequencies, not just my itty-bitty ear canal. Sure, earbuds are great for an mp3 player when you're on-the-go, but when I'm at home or practicing alone, I like to get as close to listening to a real amplifier that I can. I mean, it's not like an amp just drives all the vibration into a quarter-inch sonic cone target right into your inner ear. No my friend, your whole body feels it.
3. Frequency Response! (sometimes listed as dynamic range) Never, EVER buy a set of headphones that don't give you the frequency response on the packaging. As far as I'm concerned, it means they're hiding it's true capabilities and/or limitations.
(Forgive me if any of the following is academic, but I believe it needs to be stated as a "just in case")
Standard frequency response for a normal pair of headphones is 20 to 20,000 Hz. The first value is how low the bass is and the second is how high the treble goes. So, the lower the first value, the deeper the bass. I just bought a pair of Sony MDR-EX58V earbuds for my mp3 player. (Actually, I RE-bought a pair to replace a set that was stolen. That's how much I liked them.) They chime in at 5 to 23,000 Hz and they sound great! Similarly, the replacement set I mentioned above (Sony MDR-G45) are solidly "not bad" at 16 to 20,000 Hz, but my old Phillips set (SBC HS520) are even better. They're even better than a set of Panasonic RP-DJS400 headphones (10 to 27,000 Hz) which are no slouch either.
So, although I'm not recommending a particular brand or model, these are the basic criteria I use when selecting headphones, and HOO-BOY do I have a lot of 'em! In other words, when you're hooking up to a Pocket Rock-It it's not just the sound you get out of them, form, fit and function all come into play.
