If you are an employee, your employer should furnish your headphones. If you are working for someone but are an independent contractor (paying your own taxes, Social Security, etc.), then you would have to furnish your own. You could deduct the cost as an expense as an IC, though.
I personally found the over-the-ear headphones uncomfortable and felt heavy on my head after working several hours with them. The most comfortable and clear headphones I ever had was a $5 pair that I bought at Target--they sat inside the ear and were very light. You can get a nice pair at transcription supply websites for $20 or less.
I guess it's ultimately up to the wearer as to what they think is comfortable.