Most if not all headsets that are android compatible are compatible with windows phones. I'm currently using the Nokia Purity headphones, i tried the JBL synchros 100a, which didnt work for me because my phone had a defective headphone jack. I also couldnt get the Purity's to work either which led me to replace my original phone. Since i swapped phones out my Purity's have been great with voice commands and volume control. Neither of these options are exactly "cheap" though.
i asked about headphones in another thread and was linked to
this as to what would work for me. Newer lumias seem to be compatible with everything except iProduct headsets
and they were great. they still play audio just fine but the mic no longer functions. No water damage, abuse they just stopped working.