As is the case with a lot of those cheaper PC speakers w/subwoofer, you've probably been hearing a lot of music with an overemphasized midbass -- I know this was a case w/ my Promedia 2.1 and Ultra 5.1. It makes the music/whatever seem a lot more involving than it really is, and if you've been used to that, will make whatever's coming out of somewhat more accurate speakers/headphones seem downright anemic.
Once you get used to your headphones, you'll appreciate hearing music closer to how it was intended, noticing subtleties that were masked by the overpowering bloat -- with the unfortunate side effect of realizing your speakers aren't all that great. If you stick to your speakers for a while again you'll realize it can also be 'fun' to listen to something with that bass hump, though at that point your headphones might sound a little lacking again.
My solution? I got speakers with similar sound signatures to my favorite set of headphones (HD650) -- no more confusing the heck out of my ears, and I can enjoy listening regardless of how I choose to connect.