Truly an excellent post and I'm glad it has become a sticky.
My .02 cents:
Keep in mind how you will use your headphone
I always stress to people, be realistic about how you are going to use your headphones and the primary environment. For example, if the main purpose is to use something whilst commuting, it doesn't make sense to spend $300+ on earphones, incorporate a portable amp and load your DAP with nothing but lossless files which take up a heck of a lot more space than V0 MP3s. No matter how isolating IEMs can be, noisy environments will drown out subtleties that high-end earphones can offer. Not to mention the added risk of losing or damaging equipment in public situations and the tendency to increase volume levels to drown out said background noise which is not good for your precious hearing. Same thing goes for open headphones in a constant noisy environment such as a dorm room - not the ideal type of headphone.
Keep in check the tendency to overspend
As Boomana mentioned, there are plenty of terrific choices to fit all budgets. I've seen a number of FS postings of people selling equipment because they ultimately couldn't afford it (credit cards are very dangerous with this hobby). It is oh, so tempting to get the newest amp or the latest closed headphone or the much talked about this or that. I've read a number of posts stating something to the effect they shouldn't be spending this money but they just had to get a pair of X headphones or that amazing Y tube amp. The temptations are strong - believe me, I know - but with a bit of homework, you can find some gems with a relatively friendly price tag.
Never forget the main reason for this hobby
It is easy to get caught up in the equipment and lose sight of the main reason we got involved in this crazy hobby - the music. You can enjoy music equally as much on a $80 pair of headphones as an $800 pair.