Hello Algelopsaro!
Your observation is very relevant and, in a sense, correct.

Here I make some observations:

1 - Strength and weight of sound - I do not know your PC, but it is quite natural that the sound from your PC (even an onboard sound card) has more weight and life than the Cowon J3, because of his higher output power . On the other hand, you lose a large part of the definition that J3 is capable of delivering;

2 - Brainwavz M1 - This is an amazing headphone, that costs very little, however, is greatly enhanced by a high output power, which is the case with your PC. This headphone really does not have a good synergy with the Cowon J3. He plays his best when the source is more "warm" instead of J3, which has a sound more to the analytical side. To my ears, he plays phenomenal when used with a Nationite S:Flo2, with the headphone-out;

3 - Cowon J3 - One of the best players in the market, which benefits greatly with balanced armature headphones with high sensitivity and lossless files. With this setup, you can listen the resolution and other qualities that only high-end setups are able to offer. Want to hear something unforgettable? Try a properly equalized Cowon J3 + Shure SE530 with Comply Foam + Black Sabbath. Believe-me, it is to cry...

4 - Equalizer - The Cowon J3 is a player to mess with the equalizer. If not your case, I suggest choosing something else, eg, a Sansa Fuze, which plays very well even at flat EQ and works very well with the Brainwavz M1, as it has a warmer sound than the Cowon J3. No more, do not be afraid of messing up the equalizer on your J3!

5 - Mind burn-in - I suggest you stop listening to your music, either by PC or by Cowon, at least one week. After that, you can return to her J3 and, as I said above, play a lot with the EQ options on this player. Every device needs a mental adjustment period and, with the Cowon J3, this is no different.

I hope these comments are helpful to you, remembering that I have all the equipment mentioned (except the two S: Flo2 I had and sold) and that these are personal opinions, which you or others may disagree freely.
Guys, our cowon J3 shouldn't play better than a desktop pc? I am listening to a psychedelic trance song and i notice that the highs are more upfront on my pc than on my j3. Also the sound has more liveness. I notice that on other songs too. It seems that my j3 doesnt make me feel the felling of wanting to listen the song more than my pc. Its actually the opposite.
I am using brainwavz M1 FYI.