Most production houses use flat frequency response headphones to get the true, unequalized tone of the recorded track during post. This aids the engineer in equalizing / compressing / tweaking the track to his or her liking in isolation of outside forces. Regular audio or DJ headphones are usually designed to color the tone somewhat in order to boost bass frequencies, attenuate highs, and make whatever you are listening to generally pleasant to the human aural range. The problem with using these headsets with post-production is that it doesn't necessarily reflect the true sound of the waveform. So, if you did a car test it might sound like trash, where the headphones make it sound incredible. For simple instrument tracking and simple enjoyment, however, unless you are just unreasonably picky (we've all worked with those types) or obsessed with hearing your instrument exactly as played during the session any decent set of headphones should suffice. Personally I use an old set of Bose wrap arounds (not the crazy expensive QuietComfort type) for all my post-production and tracking work even though they are not flat frequency response--but I also make sure to do a car test and listen through a good pair of studio monitors as well. I like the way the Bose set sounds--it's very natural and tapers will with volume, but really any decent quality headset will do. Bose, Sony, Sennheiser, Shure, AKG, and others are all great picks and have models anywhere from $50 on up to $300. I think the Bose AE2 is a really good bang for your buck option, but take note that it's not flat frequency response.
In summary since it's for your own personal enjoyment I wouldn't worry much about getting the flattest frequency response, but if you plan use from the headset for other applications it's something to at least consider.
As far as your wireless request, I don't really know much about wireless headsets--but I can imagine that in addition to other problems, they suffer from a fidelity loss during the digital to analog conversion for the trip across the airwaves as @DrMayhem so eloquently points out. It's likely not a big deal if you are just doing tracking or simply playing along with your favorite song, but if you are planning on using them for any post-production work I'd probably stay away from wireless.