When I'm programming I like to listen to music, however at the office it just wouldn't work if all of us used speakers, so we use headphones.
Headphones are a very personal choice and it can take some time to get the right pair.
I'm a bit nuts about audio quality, so it took me a fair amount of time to find the right set of headphones that sounded great but could also stay comfortable for 24+ hour hack-a-thons.
Right now I'm sporting a pair of Beyerdynamic DT 770 Pro closed studio headphones. Super comfortable and great dynamic range - plus a flat studio sound which provides an uncoloured music experience.
What do you use ?