EMF is just another way of saying voltage, so will high voltage (low current) hurt you? no, you might as well say that static electricity is a dangerous, brain-altering phenomenon. Now there is some research done in high voltage, high current areas (think power lines) where it does cause minor problems over time, but that is a huge amount of wattage (current*voltage=wattage).
So if you are worried about headphones giving off "harmful EMF rays" (that line pisses me off, it is so scientifically incorrect), then put on your tin foil cap, I am not even joking here, there are radio waves and wifi waves and even microwaves GOING THROUGH YOUR BRAIN! Tin foil blocks all of these as well as any magnetic fields coming through your headphone, but dont blame me if your wifi is wonky and your cellphone cant get a signal when you put on your cap.
some people wear magnets because they think they adjust and balance the body, you might want to look into that too.
none of this is scientifically proven and is pure BS as far as engineering is concerned (take this from an EE student)
EDIT: I was thinking electro-motive force, not electromagnetic force, still, put on your tin foil caps