Cheap headphones cost around 5-10$(tops).
The quality ones (Creative EP-630, Soundmagic etc.,) start from $15, and offer brilliant sound quality for use with entry level mp3 players.
However, if you have a cutting edge high end system, or a very high end sound card, and listen to flac or other uncompressed formats, a 30-50$ in ear will make quite a difference.
If you travel the subway, spend $50 to buy a noise cancellation (active), it will be worth it.
That said, from 50$ onwards, sound quality increase is incremental. A 80$ headphone will have the sound quality of 250$ headphones for 99.9% of the listeners.
However, most people, even ones with ruined years from years of high volume listening, can easily tell between a 10$ and a 30$ in-ear headphone.
Then a lot depends on music too. If you are a metal/rock kind of "bright" music guy, you will find quality from 15$ onwards. If you are a opera kind of guy, come to $30. If you have sensitive ears, $50, if you have the hearing of superman, spend $80.
"Audiophiles, even hardcore ones" tell me that above $80 its one in a million who will get the difference in case of in ear. In case of over the ear headphones, the peak happens around 120$. However, for me, the peak happens in the $50-60 range. Anything above that sounds the same to me no matter what the music, but then I do not have a very high end system, just a decent quality sound card, and listen to mp3 at 320kbps