Bed Bath and Beyond, Linens and Things, Big Lots, Target, Wal-mart, lots of department stores. Look for a banana rack. They are the best and the cheapest. I just got one from Bed Bath and Beyond for like 9.50 after tax. It works awesome for my HD650's
I have one of the Sennheiser HH-10s and it works great. The banana hanger idea that flashpoint recommended is quite popular for a great looking, low price solution.
Don't waste money on headphone hangars if you don't really care about asthetics. Those banana hangars are hella cheap and are more than adequate for the job. The Sennheiser HH10 is actually one you might want to consider since it's actually a clamp. I have 2 of them and I clamped them to the side of my desk, saving me desk space while still giving me a place to hang the headphones. But you need quite a bit of a lip in order to clamp them securely.