If you are looking for IEMs or portable headphones of any price range you should definitely look at this site first: The Headphone List it is done by a couple well respected members on head-fi.org and contains a sortable and searchable list of reviews for many IEMs and portable headphones.
IEM List: In-Ear Earphone Review List (IEM) | The Headphone List
Portable Headphone List: Portable Headphone Review List - The Headphone List
I'm sharing this site because if someone is new to audio equipment you are going to find a lot of bad guides on what to buy and false reviews on sound quality of items. I also highly recommend buying headphones and a stand alone or clip on mic instead of a headset as you will get better build quality, better sound, better voice quality, and better comfort per dollar 99% of the time.
If you have any questions about IEMs or portable headphones or, although not mentioned in the title of the thread, amps, dacs, and other headphones feel free to ask for help here and I'll try my best to answer your question. I also highly recommend the resource and forum Head-Fi.org - Headphone forums and reviews for audiophiles for anything audio related as there are some great experts on there and the community is very helpful (I am in no way affiliated with any sites mentioned in this thread and recommend them solely based on my past experience with them and the quality of their content).
Edit: Also if you have any general questions about audio equipment or setting up your first audio build with a given budget feel free to post them here and I'll be glad to help!
Edit2: I decided since I've already made this thread may as well include some information for full-sized headphones.
Full-sized headphones are headphones not really meant to be worn while moving around basically. Many of them require an amp in order to receive enough power for you to hear the full range and volume of the headphones. DAC, Digital-to-Analog-Converters convert the digital data from your computer into analog data so that it can be heard by your headphones.
Here is a good resource comparing many flagship headphones: Battle Of The Flagships (58 Headphones Compared) the most important part of this guide to look at is the "for the price" grade given by the writer.
Here is a larger headphone buying guide also including IEMs: Headphone Buying Guide - Head-Fi.org Community
Clip on Microphones
If you need a microphone to go with your headphones here are some recommendations:
http://amzn.com/B00029MTMQ $9.75
Modmic: http://www.modmic.com/collections/frontpage $42-$50