Unless you train yourself to listen for the differences or are an audio engineer, you won't be able to tell the difference. In my experience, I would have to turn the sound up to notice the difference between high quality compressed (lossy) and uncompressed (lossless) sound.

In terms of headphones, aside from price, know what kind of sound signature you like is the first step. Next. find a store you can go to audition them. Finally, I'd pay attention to comfort, built(materials used) and durability. If you hang around this sub long enough, you will notice that many like the humbly priced Koss' cans.

Good luck finding ones that you'll enjoy!