All headphones do the same thing, right?  On the surface yes, you plug them into something and you hear the sound.  However there are other things you should consider.  Mainly:

    1.  What will you be plugging it into?

    2.  Where will you be using it?

    3.  Wired or wireless?

Larger headphones need a lot of power to drive them well and hence are not so good for small portable devices.  Smaller headphones are great for portables and will work on larger systems, but you might miss out on the extra fidelity that is available. 

If you want to use it for walking or running, then you need a pair of headphones or earphones that will let you hear some of the ambient sounds (like a car horn). 

If you're a frequent flyer, consider noise cancelling headphones to reduce the droning engine noise for a more peaceful flight.