It all depends on what you want, but one of the important things to look at is db/watt. in other words, how loud the thing is going to be with a set signal going to it.
The number might be in milliwatts instead of watts but generally the higher the number the better. This will help you hear the real deep / faint signals better because the headphones will be louder overall and just might make that mercury dime at 12" give a faint ...meeep.... out of the depth of background tone.
If you are on the beach, id recommend the circumaural? headphones, ie the ones that cover your ears. they will help to cut down on background noises, cars, kids, wave action, birds screeching etc etc. Many of them come with a tiny plug but radio shack sells adapter plugs for a few bucks each if you need to up it to king size for your detector.
Good luck.
aaron