While the exotics mentioned by the OP are pretty, most are still questionable sonically. Looking at the wood varieties used by Sony on the R-10 and AT on their woodies, we find two distinct camps.
First, AT uses maple, which is also used in a number of stringed instruments, and hopefully species / specimens with particular resonant properties. This would seem to be a good choice for closed headphones, and most of the hard exotics (cocobola, bubinga, ebony, maple, mesquite) are ok, but harder to work with than other traditional instrument woods (mahogany, walnut). Ebony is VERY expensive ($50 a BF - 12"x12"x1"), and not an exotic looker, and would be VERY heavy, in addition to not looking woody at all. As an example, a Millett I built
http://home.swbell.net/pabbi/mill3.jpg
with an ebony face plate (actually a guitar finger board) doesn't look terribly different from flat black plastic.
Now the R-10 (a Holy Grail to some) uses a less harsh, and less reflective wood, Zelkova, way more rare than the exotics listed. I can go to several wood dealers in the DFW area (or order online) Ebony (and all the exotics listed above), but have yet to find a single wood dealer in the US that has Zelkova, a Japanese Elm variety (though some guys in San Jose are still after a couple of standing trees).
If you want to follow a less reflective, and, I'd argue, a more refined reflected approach, a variety of Elm or Cedar would not only be more refined, and cost less, but is more readily available, and easier to work.
Having been a (hobby) woodworker for over twenty years, try the softer varieties first (Elm, Mahogany, and even Walnut) IF you aren't at least a journeyman woodworker. Depending in how thick you want the woodies to be, mahogany would be $10-15, walnut a couple $ more, and Elm about $15-20.
In fact, this turning block (8"x8"x4.5") of Siberian Elm was purchased off eBay for $19 shipped. It _should_ make 3 Senn 600 ear pieces, once the weather cools a bit.
http://home.swbell.net/pabbi/100_1180.JPG
I agree you will need at least a few saws (flush cut, and coping), a router AND/OR a Dremel, and at least one palm sander with the requisite sand paper grades and 0000 steel wool. A band saw and jointer would help time wise, but aren't a requirement.
Finish is a whole other matter, but nothing less than a hand rubbed oil (tung, Watco, linseed) should be considered if you are going to all the effort to carve these (just a extra days work if done right).