Many people here probably know about this plugin but I thought I'd post about it anyway for those who don't. It's called Studio Sound FX and it's free. The difference between listening to any music with and without it is drastic. It makes a big difference even if you just plug in the headphones directly to the headphones output on the computer, but it's much better when you go through a good receiver (preferably using a digital connection) or probably a headphone amp, although I never had one of those. This plugin can make a pair of cheap headphones sound like more expensive ones, and if your headphones are good to begin with, you'll get the best possible sound out of them.
Here's the URL: