When playing in JamKazam sessions, you'll want to use headphones plugged into your audio interface. It's possible to play with studio monitors, but you definitely run a high risk of creating a feedback loop - which neither you nor anyone else in your session will enjoy. If you know what you are doing and are careful with your setup, it's possible to use monitors, but almost everyone plays on JamKazam with headphones.
Headphones are such a personal item that we're not going to even attempt to recommend which set of headphones you should get. Hopefully you already have a pair you can use. If not, then grab a pair that looks good to you based on your preferences. Your choice of headphone will not affect the latency you experience in sessions at all - provided that you use a wired set of headphones. We do not recommend wireless.
The one thing we will say is that whatever headphones you get and use will almost certainly need to have a 1/4" connector jack - because most audio interfaces will require this size to work with the headphone port built into the audio interface. The 3.5mm headphone mini-jack won't work with most audio interfaces. Note that some headphones actually support both the mini-jack and the full-size headphone jack in a single product. See an image below for a product that does this. The full-sized jack typically either snaps or screws onto the mini-jack in this kind of dual-use headphone product.
