It's all about electrical efficiency and getting as much of the signal from the amp to the headphone as cleanly as possible, without introducing noise or degrading the signal. You can get most of the way there with well made, high grade OFC cables and that last little bit with silver if you really feel you need it (most don't). Thing is, with silver cables, while silver is a better conductor than copper, it is also a lot more expensive and so silver cables tend to be much thinner than copper ones which kind of defeats the object, making the biggest benefit lightness rather than better conductivity.
This doesn't mean that those cables have to be ludicrously expensive though, I'm quite happy with my £8.50 KabelDirect OFC extension cable. I've been lucky with the headphones I've bought, in that none of them have needed a replacement cable as they all have high grade OFC or better as stock. The Sennheiser HD 650s and AKG K702s bioth use high grade OFC cables while for my Sonys, I use both cables that came with the MDR-1A, which use a balanced configuration and are an OFC/Silver hybrid design. Some don't though, the original Philips Fidelio X1 being a fine example, with it's nicely made and attractive stock cable having an impedance that was far too high, which did adversely affect the sound.
While I haven't had the need to buy replacement cables, if I did, say for convenience sake, wanted a 1.5m cable for my HD 650s rather than the 3m it comes with, then I would consider around £15~£25 for a well built OFC cable and £25~£40 for a decent gauge silver/hybrid variant. I wouldn't spend more than this though as I know that I would not hear any benefit because the cheaper cable would already be operating at above audible performance levels.
Don't forget, most of the people who buy these insanely expensive cables are already using extreme high end equipment and will see a relatively cheap cable as a weak link in their audio chain, whether it actually is or not. So in many cases they are just buying expensive cables solely because of expectation bias. It doesn't help when cable manufacturers tell absolute lies though and many audiophiles seem to be more than willing to fall for them. I know at least one of the big manufacturers was caught out for fabricating blind test results, which did wonders for it's sales.