I dont EQ the headphones. I do apply EQ to music when needed. For example, an old 30's jazz recording that sounds muddy/dull I might turn up the treble or some 70's rock with light bass I might crank the bass up a bit. Many of my albums dont require EQ at all.
I have noticed a veiled quality with some software EQ - such as the EQ built into my Sansa Clip. Although I suspect the veil has more to do with the volume than anything else. I have found that EQ reduces volume which will give the impression of a loss of dynamics/clarity. Stop the music for a few seconds and turn the volume up a hair and the veil will be gone.
Nothing wrong with mechanical EQ either. Every audio amp on the planet uses circuitry that has a sound. Trimming the sound with a mechanical knob doesnt change the "quality" of the sound.
Jeez, this discussion is like arguing whether a blue car is better than a green car...
I don't eq headphones either. I buy ones i like, then i don't have to.
So i had a Sansa Fuze once and the sound quality was flat and lifeless, i had bought it to play Flac files which it supported. I can understand the issue with Sansa and the veiled sound.