HD595's do sound pretty good unamped, but not all DAPs have the juice to drive them properly. They sound quite nice out of the X5, though a bit grainy compared to high end cans. The A900 sounds fairly good unamped too.
However, if you're against lugging around a "brick" as you put it, how is lugging around a giant pair of full-size cans any better? If you want something truly portable, we'll have to talk IEMs, earbuds, or clip-ons. Here, you can get very good sound, provided that you have very deep pockets.
The Westone ES2 is the best headphone I've ever heard unamped. It sounds as good as many full-size rigs straight out of an X5, and sounds reasonbly good playing lossy files, though it's honest enough to always tell you about compression artifacts when they're there. A UM2 also sounds pretty good unamped provided that you EQ up the highs. The UM2 has enough power handling that you can custom-tailor the frequency response to basically whatever you want, provided that your mp3 player has the EQ options and the headroom to pull it off (you can do the same with the ES2, but you WILL hear the SQ degradation as you turn on your EQ circuit, and besides, it's balanced enough already to not need EQ in the first place). As far as the E500 goes, I think that it doesn't just benefit from an amp, it positively requires one. It sounds wimpy and washed out straight out of the X5. Not lacking in detail, but massively lacking in punch and tone color. When you throw in a Hornet into the mix however, it comes to life and sounds very good, though the bass is massive and can kill you.
Basically, IEMs are the way to go here, but only the high-end ones. If you don't want to shell out so much but still want good SQ, you're better off with an easy to drive full-size set like the HD595.
