You may find that once you split the signal you will also need two little in line amplifiers, the player may not be delivering enough power to power two sets of headphones. It will depend on the player and headphones you are using, but little inline amps that run on an aaa battery are not expensive at all.

Radioshack makes a three way splitter with booster features for $22. You won't know if you need that or not through until you try.