I second the Yodobashi camera in Akihabara suggestion. Amazingly big store and a lot of foreign tourists. I like to go there sometimes on my free time. Cannot buy much though as I am a poor student...
I looked at Yodobashi's homepage, but could not find an English version. This is the headphone section on their homepage. I have chose to list products with the most expensive one starting first. Yodobashi is a large electronics chain with online sales too, so these prices are just if you buy online.
I agree with Skylab. Non-Japanese brands can be expensive. For example two headphones I bought in Sweden, the Sennheiser PX100 and the AKG K420, are both about twice the price compared to Sweden. Better to stick to Japanese brands or at least compare prices.
This is a list of all the Yodobashi stores. It is in Japanese, but you can run it through a translator.
I usually go to the seventh one from the top (マルチメディア町田 i.e. "Multimedia" Machida) in the town where I live. The selection is so much better than back in Sweden!
There are two Yodobashi in Shinjuku, one close to the Shinjuku station (east exit). Next to the Yodobashi there is a BIC camera (Japanese seem to like to put "camera" in the names of the electronics stores). BIC camera have a good selection too, however not as good as Yodobashi. I would say that it is still better than any Swedish electronic stores, and perhaps the ones in Louisiana as well? 
BIC camera has got a store guide in English.
You can already now become familiar with the Yodobashi song.
Edited by Danneq - 5/24/10 at 7:49pm