I've currently got the Sennheiser HD-800 and the Objective 2 headphone amplifier.
I've always bought new stuff like amplifiers and DACs and always assumed and thought the music sounded different on the new thing. Then at some later date I would set up this test where I can listen back-to-back with little break in the music. The more expensive DACs and amps quickly end up on sale after I find no difference at all between the cheap and expensive parts when I don't have to rely so much on audio memory.
Today, I set up a scenario where I can listen to any song from both my Asus Xonar Essence STX line-out and my intergrated motherboard Realtek chip. The latter being possibly among the worst analog outputs you might find today as far as measurements go and the former being among the best. I can switch between the outputs with under a second of break in the music. I've volume matched the outputs using a Radioshack SPL meter. I haven't really done this comparison before as I've always assumed the Realtek would be terrible. I've listened to it at some time and felt subjectively that it's no good at all. However...
Listening to both of them back to back with little break in between, with the song continuing from the same spot... I can't hear the slightest difference. None at all. They're effectively identical to what my doctor would call a perfectly healthy hearing. The RMAA measurements I've taken suggest the Xonar is vastly superior in most aspects, but it just doesn't seem to translate to anything tangible. It just creates this predisposition and opens the door to self deception.
To this date, I haven't been able to hear a real difference between a 1000$ DAC and a few $ DAC. I haven't been able to hear a difference between a 500$ discrete headphone amplifier and a supposedly 2$ chip amp. Or 100$ interconnects compared to 3$ interconnects. I've been able to imagine differences between all of them and convinced myself they exist, but these imagined differences haven't been able to stand up to a more objective test method.