For shortwave radio listening/DXing, I recommend you get a pair of aviation type headphones, which are specifically designed to hear voice audio. Why invest in high fidelity headphones, when all they're going to do is pass more static and static crashes to your ears?
I use Telex Airman 760's, as these are one of the cheaper aviation headphone options. They're open air style, and are very lightweight and comfortable. Frequency response is 100-3000 Hz, which is terrible for an iPod, but perfect for shortwave. (The 760's are exactly the same as the 750's, without a microphone). Even though they list for something like $99, I've bought two pairs on Ebay, once for $19.95, and another for $1.25.
http://www.telex.com/us/aviation/file?i=97126&lg=eng