I swear by Blue Lola headphones.

I got the chance to try them out at the store years ago and they were the most comfortable headphones I've ever worn in my life. They just stay on your head and don't sag or get uncomfortable from wearing them too long. Just the absolute most comfy experience. The fact that the audio quality is really good is just a nice bonus, but I'd pay extortionist prices for the form factor alone.

I can't speak to what's a good speaker system though, so I'll be lurking to see what others have to say on that matter.