Among the players, I think the only one with a Roku 3 style headphone jack in the included remote is the Roku Ultra, which is the $99 one.
However, there is a less expensive option. Any Roku can be configured to work with the free Roku app on iOS or Android smartphones. Once paired, the phone's headphone outlet will work with the Roku. (I like using this with our big 65" Roku TV; it lets me watch late at night, using my bluetooth earbuds.) If you find you have sound dropouts using the Roku App, try rebooting Roku and/or phone.