I use FM radio at moderate volume for headphone burn-in, usually tuned to an "urban rock" station that has plenty of thumping bass. (I don't actually listen to such stations, but they work great for burn-in). I never liked the idea of letting a CD player run for hundreds of hours straight, due to wear on the laser, heat build up, etc.
Same here. I pick a radio station, have the volume little louder than usual and leave the phones in for 24 hours. If I'm still not happy with the sound, I'll still have enough time to return the phones.