I'm not seeing many Prime Day headphone deals, but there are handful worth checking out. Some are timed deals with limited stock, so grab the product if it piques your interest -- you can always return it later if you don't want it.
Sony MDRZX770BT (going fast at $48): This is an older Sony Bluetooth model. I reviewed the step-up Sony MDRZX770BN, which includes active noise-cancelling. This is a Bluetooth-only model and perfectly decent. It's a good deal at $48 -- it's usually $80, though the list price is $100.
Sennheiser HD 218i (going fast at $15): A good deal on a lightweight, comfortable on-ear model. Normally $30.
Shure SRH145m+: You can get 25 percent off these highly rated Shure on-ear headphones. The version without a microphone is only $30 and is the deal that Amazon is highlighting (it's going fast). I personally prefer the one with the microphone. (Read the CNET review).
Audio-Technica ATH-CKX9BK: This is a decent in ear headphone for $30. Not a great savings off its normal price of $38, but it's a decent in-ear model that fits securely in your ears.
Bose SoundTrue Around-Ear II ($100): Also about as good a deal as you'll get on a new pair of ultracomfortable Bose wired around-ear headphones. I gave them 4 stars in my review. They're usually $180.
I'll update this post with more headphone deals as I see them.