I haven't heard ANY good headphones and, as far as I know, there is no place in Tulsa or surrounding areas that even has decent headphones!
Resurrecting a thread: Tulsa here.
For what it's worth, Guitar Center does carry some quality IEMs (and even *gulp* the Apple store). The EarPlug Superstore in Fort Gibson (of all places!) carries a selection of high quality IEMs, too. They're primarily internet-based, but I think they have a small store presence. It's where I got my ER-4Ps way back when.
Otherwise, yes, our options are really limited.
Just created an account here too. I'm in Tulsa (midtown). Currently, for a headphones setup I have an oldish HeadRoom Total Bithead dac/amp and some Etymotic ER-4P's IEM's and a Sennheiser HD280 Pro cans. I don't use my ER-4's much anymore because I find over the ear cans to be a lot more comfortable for me - not to mentioned a whole lot easier to put on and take off. I also have a decent home theater setup and bedroom 2.1 setup for music though I'm not sure how much that type of gear is discussed here.
Right now I really want to upgrade my office gear (read: headphones) and I'm not sure if I want to go with a tube amp or solid state amp. It would be great to have some type of local meet where I could try a tube amp and some nice headphones to see how much of a difference I can hear and rather or not I like the sound :) But I'm not sure how much of that type of gear exists in Tulsa.