Headphones aren't a big deal but they do help out a lot if you're using an external mic. Without them, you can run into problems like feedback when the speakers start blasting sound into your microphone. Don't worry too much about high-end headphone models since the primary reason is to hear how you sound and to make sure you are broadcasting audio to the net. This is another area where gaming headsets can come in handy. 

Razer Carcharias
Price: $70
Buy it here: razerzone.com (available soon)