About $500.
That's the point where you can start finding good used speakers that offer many things headphones don't, like a good bass response and soundstage. If you go DIY, you can lower that. Go up to $1,000 and some (but not all) used speakers better pretty much any headphones. By around $2,000, you are solidly in the realm of diminishing returns and headed for the land of status symbols.
Anticipating counterarguments, rooms are not that important. Sure, you can spend hours with a SPL meter and glue foam/fabric traps all over the room and get anal about things. But a typical placement in a triangle with your listening seat is usually fine. I adjusted the distance apart, toe-in and distance from wall with my speakers and they sound pretty good. I'm sure a dedicated listening room would be better, but a little work has them sounding better than the HD-800.
Someone is bound to say that speaker amps are more expensive, too. Bull. A used quality receiver for $100-$400 gets the job done nicely with probably 90% of the non-exotic dynamic speakers out there. When you have a driver 1 cm off your ear, you need a well-constructed amp with little noise, preferably class A. Go six feet out and a touch of hum and a class AB circuit is mostly fine. Also, there are good stereo amps going back nearly 60 years. There's a wealth of used gear. Headphone gear has only taken off in the last five or six years, so there isn't the depth of deeply depreciated - yet good - gear out there. I run my speakers off a 1980s tube amp I found for $700. I paid almost $2,000 for my primary headphone amp. If I could have gotten a great tubed headphone amp from 1985 for $700, I would have. But we're going to have to wait another 20 years for that.
Side note: I'm running ProAc Response 2.5 clones with a Conrad-Johnson MV-52 tube amp. Roughly $1,700, or the cost of a PS-1000 by itself. I've heard the PS-1000 and there's no comparison. I'll keep my setup.