I'll see if I can be of help. B)
First of all
Action told me that you get more for the money with headphones, rather than speakers. (for computer usage)
It's true: $40 headphones will sound a lot better than $40 speakers. If you need speakers though, get speakers.

Headphones don't work very well if you need to fill a room wit sound.
What do you use your computer for?
Gaming, listening to music, audio editing?
Have any tips? This is the place to post em'!
First tip: You get what you pay for...to a point.
$40 headphones will be a lot nicer-sounding them $15 headphones.
$100 headphones will be a lot nicer than $40 headphones.
Beyond $100, you really have to ask yourself, do you really want it? Do you really need it? The gains beyond that point are rather subtle, but if you're a real audiophile or a huge fan of your music, that might be worthwhile.
Another thing to consider:
Noice cancelling. Some higher-priced headphones have a feature called "noise cancelling", which uses a battery (which you must supply) to basically reverse any sound coming at you from outside the headphones, effectively making them much quieter. The benefit of this is that it will reduce outside noise and make your music more enjoyable, in theory. I'm not a fan of the feature because:
1) it uses batteries
2) Most larger, "over the ear" headphones have enough sound isolation from outside the headphones simply due to the padding on the headphones that having a powered system to reduce noise isn't necessary.
3) It's extemely expensive (usually around $200 for a set of noise cancelling headphones) and the sound quality from those headphones, while good, isn't amazing for the price of the headphones. Non noise-cancelling headphones for $100 would likely sound much better.

If you're looking for a cheap set of headphones (under $35 or so), ask the store if you can try them on. Comfort is a big concern with headphones, especially if you're wearing them for very long. Most higher-priced headphones are really designed with comfort in mind, but this is especially a concern for the lower-end models. Most headphones feel fine but some....just don't. I've never had a set that's been *really* uncomfortable, but I have definitely had some that are more comfortable than others.
The sad part about buying headphones is that usually you can't try them on or listen to them before you buy them.
It's hard to judge a pair of headphones without ever putting them on. Check with your store's return policy before you buy any headphones and make sure you can bring them back if you don't like them.
As for sound quality, I'd say stay away from Sony unless you particularily like their stuff. Sennheiser has been getting very good praise in the headphone market; you might want to check them out. Petrie speaks highly of them and I trust his ears very much.
