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As basic as it gets.
A good pair of headphones is essential in listening to audio whether it be an EVP or an investigation video.
Opinions vary but I prefer the Skullcandy Hesh 2 Wireless over-ear headphones.
I rarely use them in wireless mode though, and I've compiled an impressive array of adapters and cords so that I can listen to audio directly from whatever device on which it was originally recorded.