You will find most any CD player is fine. Some will allow you to select the type of music though not necessary it's interesting to experiment what works better for you. Headphones - go for comfort and what you would enjoy wearing.I avoid the ones with the foam cushions because they start itching and get hot quick but some people love them. The best ones I've found were brand names. The el-cheapos never seem to last long even if they are good sound wise. And I've often thrown away the ones that come with the CD players. You'll probably get a few recommendations for headphones. But for Paraliminals top of the range is not necessary.
Alex