On a budget you can't go too far wrong with Sony 'in ear' fontopia headphones. They range between €13 - €32 approx. I have a set with the bass boost caps (they stick into your ears but provide good quality sound with little leakage).
I have never used headphones on GP2X but as far as I know it has a standard 3.5mm jack, so unless you are buying chunky 'sound system' 'phones with their own amplifier any set should fit. The huge ones sometimes have a larger phono style plug, but if you are looking for cheap ones this should not be an issue for you!
I would not recommend Philips for headphones, they sound good, but I have had a couple of sets break after very little use. My Sony headphones are around 3 years old and still going strong.
When buying look at the thickness of the wire. Very thin wires that 'kink' when bent generally have poor low sound quality. Most of the major brands should be fine though. If you are from UK/Ire, just pop into an Argos!