Bluetooth doesn't have the bandwidth to support uncompressed audio, so it must be compressed before being streamed to the headphones or what have you. When you connect the headphones to your phone or whatever, they do a bit of chatting and decide on a codec to use to compress and decompress the audio; aptX (sometimes styled Apt-X) is generally considered to be the best of these, so when you're buying any Bluetooth audio device, look for one that supports aptX.
If you have particularly good hearing, you might be able to hear the difference that the Bluetooth compression does, especially if the source audio you're listening to was already poorly compressed. I personally can't tell the difference, but I do notice the delay when playing certain games.
Of course there's also the question of the audio reproduction mechanisms of the headphones themselves. An interesting experiment might be to get a pair of headphones which supports both wired and wireless connections and do a blind test with a friend and see if you can tell the difference between the two, as in that case the difference would have to be due to the Bluetooth encoding rather than any other aspect of the headphones. I'm pretty sure I wouldn't be able to tell the difference, but if you can, then you're probably going to have a hard time finding agreeable Bluetooth headphones.
