First, the easy one:
If you are not using headphones, you are most likely missing targets. Not only is the speaker of the detector further away from, and not lined up with, your ear(s), ambient noise, such as kids playing nearby, passing traffic, or wind noise, will drown out the fainter, weaker signals of the deeper targets. Further, extraneous sounds detract from your ability to concentrate on listening for certain types of signals. Additionally, using headphones will extend the detector's battery life.
Second: Good metal detector headphones are designed especially for metal detecting. Low-end detector headphones are not specially designed for metal detecting. Just because they are sold by detector dealers does not make them specialty headphones.
What does make a headphone for detectors special? First is the speaker itself - usually made of mylar, it is resistant to moisture and does not get brittle or tear like paper cones do. The speakers in high end sets also normally have an impedance of 150 ohms. Inexpensive headsets will have an impedance of 40 ohms or less. Without going into the details, suffice to say, the higher resistance is more desirable. The next metal detector specific item is a noise limiter. This is not a frequency limiter or crippler; it is more of a power clipper. For example, you have the volume up on your detector, everything is tuned to listen for those very faint, deep targets with a signal barely louder than your threshold. Suddenly you pass your coil over a cola can - the blast of sound is not only uncomfortable, it is downright hazardous to your hearing. At best it is undesirable. A noise limiter senses the sudden increase in signal and clips it, thereby protecting your ears. It's kind of like having glasses that automagically darken in bright sun.
Cheap headphones use cheap components. Whether they are intended for metal detecting use or music listening, the axiom is the same. Go to an audio store and spin the volume knobs on a cheap set then spin the knobs on a high end set. The cheap ones feel cheap. They often feel gritty. Some even use a wiper arm rubbing on a board coated with resistive material. Good potentiometers (volume knobs) will be smooth and quiet in their operation. Cheap ones can cause static every time they are touched or moved with inconsistent volume control.
Fitment - cheap headphones will simply have holes in the cups with the wires passed through. Often with a knot tied in the wire inside the cup to prevent it being pulled out. High end units have grommet - some brass, some rubber - but all protect the wire from abrasion at the hole. The cups themselves will usually have thicker plastic or even aluminum. Cheap ones will sound like a drum if you tap on them with your fingernail. Inserting high density foam inside the cup can help even cheap headphones sound light years better. Ear pads - cheap = plastic; mid to high end = leatherette or expanded vinyl or even gel. Headband - cheapo uses thin wire frames with little or no padding more often than not. High end units often use (what I call) plastic or nylon. These are flexible, but don't twist out of shape like metal can. They also don't rust. Really good headphones will also have a replaceable cable. That cable will have a "mono" connector at one end and a "stereo" connector at the other. This will allow you to use your headphones with older detectors as well as newer, as long as they use a 1/4 inch plug, you are good to go.
Now, having said all this, high end headphones need not be expensive. If you have basic soldering skills, and a hand drill, you can make your own $200.00 headphones for less than $50.00. I haven't purchased a set of headphones in years, yet my headphones are as good as, or better than, any of the current crop of detector headphones on the market. In fact, they are based largely on the design of the very popular, but extinct, Rat Phones.
To get you started, here's a link to a source for your speakers:
http://www.mouser.com/ProductDetail/Kobitone/254-PS1515-RO/?qs=I29kNAisxhy9kIhza4SJWg%3d%3d