at the desk: sennheiser 280 (i really wish they didn't have a coiled cable) - http://www.sennheiser.com/sennheiser/home_en.nsf/root/privat...
on the bike/plane/train: etymotic er-6i - http://www.etymotic.com/ephp/er6i.aspx
i recommend headroom for buying/research (http://headphone.com/). they review most of their products and will tell you which ones are junk (even ones they sell) and which aren't worth the high price tag.
Additionally, since they are "pro DJ" headphones, Sennheiser offers replacement cords and earcups.
On the cheap end the Koss PortaPro is a classic. Literally, as they have been around since 1984. If you're looking for in-ear phones Shure is getting pretty good reviews. If you're like me and don't want to spend over $1,000 on something really spectacular your best bet is comparing some reviews of products like the Sennheiser HD 650, the Beyerdynamic DT 880 and similarly priced models from AKG and Grado.
I'm no audiophile, so for me a large part of the decision was how the products looked and if they seemed comfortable. The construction and materials mattered to me as well. I'm clumsy and drop them on the floor a few times a day. My headphones have survived the ill treatment I've given them for several years now, so I must admit I'm pretty happy with them.
If you're going to buy something over $100 you should read reviews to find out what works best for the sort of things you want to listen to. Different headphones are better for different kinds of sound. The ones I use don't have the best reviews for classical music, for example. Classical music sounds pretty great on them to my untrained ear, but if that is your favorite kind of music there are better options out there.
Obviously, your input system matters as well. A really high-end product is a waste of money if you're going to listen to MP3's. The hardware is really important as well, so models that cost more than a few hundred dollars are probably going to cost you much more than that if you want to get an audio system that does justice to them.
Different people want different things out of headphones. What was important to me was good isolation (I can't hear my officemates, and they can't hear my music) and sound quality. I didn't really care about portability. I find circumaural (Princess Leia-sized pieces that fit entirely around your ears) most comfortable.
(However, none of the Grado line is particularly good for an office setting, unless you have a real office with a door and such, since they're open-backed.)