If you want to go the cheap route, try the Koss "the Plug"
in ear headphones. These are like the Shure and Etymotics
but much cheaper (in price). I find the sound quality acceptable
for monitoring; so for a metronome click, it is more than enough.
Just make sure you get the latest model which is metallic blue with silver rings and has no mute switch. So far, they don't give
me headaches like some more accurate headphones do, and also
have great isolation. They come with four pairs of cushion plugs,
and you can make your own spares(do a google search).
Circuit City sells them for $19.99, and I also saw them for $24.99
at Best Buy, so shop around. For the money, you won't be
disappointed.
Presently I am not using the click, instead, I use
a minimal percussion track panned to one ear.
In the past, I have used a drumKat click output, which was
pretty cool because I could also use Tap Tempo to set it.
But, that BEEP really got to me after a while.