I did some research when I was in the market for headphones and landed on the ATH-AD900x. I went for open-ear because they were supposed to have better soundstage, and I like being able to hear my surroundings as well. Listening to music and playing 3d games was almost a whole new experience when I got them. I could pick out instruments and sounds that I couldn't differentiate before, everything sounds so much nicer and it was completely worth the money. I grabbed a cheaper Xonar sound card as well, since supposedly theyre good for pairing with headphones for 3d positioning in games, and have a built in amp.
All in all, if I had to pick peripherals to spend the most money on, I'd probably put Headphones up top, then monitor, mouse, then keyboard. It made THAT much of a difference.