DSOTM, Sgt. Peppers (any beatles record for that matter), Aerosmith Pump, Amadeus Soundtrack, Robin Hood: Prince of Theives Soundtrack, anything Danny Elfman, Busta Rhymes - E.L.E. (some insane textures on this CD)
Common - Faithful
The Beatles - She's Leaving Home
Mozart - Requiem (Introitus)
Batman Soundtrack - Main Title Theme
...oh man...this is a vague thread because let's face it, the reason we have headphones is to enjoy ALL of our music...I guess I love them all.
You say you enjoy 'classical' music, but what kind of composed music do you mean by 'classical'?
If you are looking at something to really put your ears to the test in listening to detailed sound, I sugest you take a listen to:
'Threnody for the Victims of Hiroshima' by Krzysztof Pendereck
It is an avant garde sound mass composition thus do not take it as you would a Bach work. You must either pay close attention to the hords of layerd sounds being played or take the work as a whole and let it move you. This is not a light hearted composition but it will give your ears a work out and it will show the limits of your headphones.
The best recording of this work can be found on the 'Matrix 5 - Krzysztov Penderecki' CD.
Or you could look into some John Cage (the most famous of the avant grade composers) or Steve Reich (minimal) for more accessible composed avant garde works.
Or if you want a great 'indie' album, take a look at:
A Hawk and a Hacksaw
They have put out two albums thus far and both are recomened headphone listening. The detailed and layered sound collages are rich and fulfilling. Their first album feels as if they created a twisted and backwards circus in their barn. Their second album has many traditional elements (and guest artists) from european cultures made into one cohesive album.
These are your best (and non-main stream) listening choices, in my humble opinion.