I suspect this is way too late to help, but be aware that different types of devices need headphones with different types of plugs. There exist adapters, but that adds to the cost and weight. For example, there are two types of Ipod plugs, other MP3 player plugs, phone plugs. A knowledgeable retail salesperson can help you figure out what size and type plug headphone or earphone you need.
In addition, headphones fit your ears and head very differently from each other. For example, no earphones will stay in for those of us with uniformly narrow ear canals. They work better in people who have a place inside their ear canal where the ear gets larger than a little outside it. Again, you need a headphone that adjusts to the right size. They only that adjust best for me are models for professional musicians, which have a very wide range of adjustment - but all the ones I've found are both expensive and bulky. One rink wouldn't let me wear them, because they had a rule against skating with electronic devices, and the bulky headphones were too obvious.
(BTW, headphones for drummers shut out almost all external sound - but are pretty uncomfortable. Besides, there could be safety issues. Noise cancelling headphones don't take out external sound nearly as well, especially at the higher frequencies.)
Some headphones fit sideways instead of over the top - which works better on some people's heads.
If possible, try a big electronics retail store that has display models you can try and find something that fits and works for you.