The Quest has integrated headphones, although headphones is perhaps the wrong word. The sound comes from a narrow slot on the left and right side of the headband. The sound is quite acceptable, but the bass is missing, of course - but you can still hear the ambient noise - which can be quite helpful. :-)
Apart from that, there is a 3.5mm jack on both sides of the Quest. Matching in-ear plugs with a short 15cm cable are available from Oculus. But normal headphones can of course also be connected.