Don't settle for the cheapest option but also, don't go overboard either.
When I first began detecting, some experienced users once explained to me that by only using the built-in speaker, I was certainly missing the fainter targets. And a visit to the beach means you'll often be unable to hear fainter targets if there's a loud surf beside you.
Try to get earphones that give you the ability to hear a little of what's going on around you... but make sure they offer a good range of audio from the treble through to the bass. Earbud types are fine. The one thing that's important is to try to find a set that has a LONG cable attached.
IMPORTANT:
Any normal length earphone cables tend to be a few inches too short and you'll get caught up and pull them from your ears by accident every time you bend down to dig. So try to find a set with extra long (or longer than standard) cables.