Apparently different than most others here, I've had a mid/high end speaker setup for many years and only recently discovered the wonderful world of headphones. I started checking into headphones because of the WAF: I like to listen to music and watch movies late at night after I get off work (I work nights), and my wife likes to sleep.
I've been getting Audio Advisor catalogs for years and about a year ago I ordered the HD580/DSP Pro combo for $199. To say the least, I was very impressed with the sound of the 580s (not so much with the DSP Pro, though it does do movies well).
About 6 months after that, I found Headroom's web site and shortly thereafter, Headwize. When Headroom clearance priced their Max, I took the plunge - Headroom Max and HD600s.
Since then, I rarely listen to music on my speaker setup ($20K+), I really do prefer the more personal experience of the headphones, for now at least. I keep thinking the novelty will wear off.
Anyway, the whole point to this is: (IMHO) Except for the soundstage, visceral bass, and multiple listeners you can get from speakers, in order to get the same satisfaction from a speaker setup that you get from a headphone setup, you need to spend at least 10X more on the speaker setup than you did on the headphone setup.
Just my 2 cents.