Benefits are privacy... you don't disturb others or attract attention. #2, you can hear more - deep stuff sounds soft (generally) - this allows you to also judge depth. Plus you can hear better what sounds the detector is making... you might be able to tell the difference between a good "round" sound and a broken, unround sound - trust me, there IS such a thing - successful gold ring hunters are usually very good at knowing the round sound. Definitely saves some battery life as well.
One drawback is if you are hunting in unsafe areas alone you may not be able to hear a thug approaching, but in those areas you're better off hunting with a buddy anyway. And because you're not out there beeping away, you are also not attracting the attention of the thug.
Cheap headphones are usually ok, I used the stock $19.99 black headphones for metal detecting for years. Only recently did I try some better phones. I have been using my Jolly Rogers and they are great. If you are wearing them for long periods of time, the sound quality and comfort of the $70+ headphones are worth it.