I keep my bigger headphones (Sennheiser HD800 ; HiFiMan HE-500 & Shure 1840) each in a padded SLR camera case. It's a little bit expensive, but for these expensive items I like the assurance offered by these cases, even if they never leave the house. For me it's worth it because this hobby is good for selling and trading used equipment - a well looked after item is always appreciated.
I travel a lot, and use my Grado PS500's when I travel (the ear pieces fold flat) and for that I use a small padded laptop case.
The other inexpensive solution I use for headphones is the cloth bags that some (expensive) shoes come in. These offer limited protection, i.e. they stop scratches and stop dust etc gathering.