I generally like to use headphones during production and basic leveling stuff, as it keeps the noise down and I get a better ear on what my reverbs and details are doing, but as mentioned before, using headphones for the entire mixing process is not advisable. If you absolutely can't invest in some decent studio monitors, at least A/B reference between your cans and whatever speakers you have - and the almighty car test - to get a general idea of where your averages are. The more you're able to reference with, the more informed you'll be when making your mixing decisions. Just keep in mind the strengths and weaknesses of each listening medium and factor that in. You can do comparisons with professionally recorded material you like the sound of through your referencing medium to get a general picture of the referencing medium's strengths/weaknesses.
That said, I somehow get good results with a simple pair of JVC HA-M1000's. They just work well with the way I mix, and I don't find myself having to correct much when I start mixing through my monitors.
I made a mistake of buying those Sony MDR - 7509HD's which were given accolades and were supposed to be the next 7506's, which are supposedly industry standards for media application, and they sound like absolute garbage. Huge bump in the high-mids, harsh highs, and no low end response at all... Sounds like you're tracking in a tin can that's situated inside a toilet in a metal bathroom. Horribly narrow freq-response. Don't buy them.
If you're searching around for a cost-effective, decent pair of phones, just try to find something that doesn't boost any freqs if possible. Trying them out is a good idea. Bring a CD you're very familiar with to a local shop and run it through different headphones and take note of which phones portray the music the most honestly and that's within your price-range. That may help you pick some headphones that won't work against you as much as some of them definitely will.
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