30 to 40 bucks won't get you very far. I have what most consider to be the "low-end" Sennheiser HD570's and I paid $160 for them. Many will recommend the Sony's but I've yet to hear a pair of Sony headphones that I liked. Plus the HD570's are well-padded with soft velvet covering the ear enclosure. My old Aiwa headphones gave me headaches after a couple hours use. Sometimes I forget I have the 570's on.
Reg try the Koss KTXPros from buy.com. $15+ shipping and they sound really good. The Grado SR60s are of course better, but 4x as much as well and also open can so not so good for keeping sound in.