I've had multiple headphones, because I thought that they dealt better with particular types of music before. Generally though, this means I'm not happy with any of them in some aspect. Not to mention changing headphones because I don't like the presentation of one on a particular genre is a real pain as I like to switch up what I'm listening to. Then there's the fun of having to store different headphones, and they don't all like the same amps... it just gets very expensive and annoying.
With my current setup, I don't ever find myself thinking that something sounds "wrong". I never wonder what happened to the bass in that piece, or think the tonality of something isn't right. I know I'm not at the pinnacle of technical advancements with my current rig, but it does nothing wrong. It might be fun (it -is- fun) to listen to something more bass heavy for a bit, but it's overall not very satisfying and not something I can ever stand doing for long, so I definitely no longer value it high enough to be worth a particular portion of money I could spend on audio gear.