Headphones should be evaluated the same way as speakers are - by listening. How they sound is subjective and varies from person to person.
When choosing your headphones, bring along an MP3 player or portable stereo. Try out several models and listen for the following:
Clear audio, without any distortion. Deep, clear and controlled bass.
Smooth and even frequency response - no tinny or bright highs.
Listen for hisses, especially with wireless or cordless headphones.
Surround sound headphones should have good sound localization.