Took delivery of my 2008 X5 on 08/05/2008, with rear seat entertainment package as well, asked salesman same question about headphones and he also indicated headphones were not included and must be purchased separately through parts dept.

__________________
2008 X5 3.0si |Space Gray | Black Int. | Bamboo Trim | Premium Pkg. | Premium Sound | Sport Pkg. | Tech Pkg. | Entertainment Pkg | Comfort Access | Auto Tailgate | Rear Climate | iPod | Satellite/HD Radio |Style 214 20's on Michelin Latitude HP