Focus on purchasing good quality headphones, first decide whether you want in-ear headphones or over-ear headphones. If you exercise often you might want to try in-ear headphones. A good model is the Linsoul KZ ZS10 which is cheap at $50. It's quite sensitive though so you might notice some static if you use it with a phone. A good cheap over-ear headphone is the Audio-Technica ATH-M40X which you will need to amplify, the FiiO E-10K is a decent and cheap amp/dac combo that can drive those. Don't worry too much about DAC, 99% of DACs in phones, mobos, etc. deliver transparent sound quality, the only reason why they might be a problem is electrical interference.
If you want to LARP you can get high quality Soviet headphones like Echo TDS 16 and the Amphiton TDS 15 for cheap online.>>2005
These are quite expensive options for normal people