A lot of it has to do with the Earpads breaking in over the course of a few hours and warming up to your ears, becoming softer and more pliable thus allowing the driver to move slightly more forward. This definitely changes the sound and accounts for the majority of most peoples significant burn in experiences. That "night and day" effect.
There is also definitely some degree of electrical efficiency gain over the course of time. Wires and transducers that are brand new will show very very small changes in voltage in their first few hours of actual usage.
Then there is the driver itself, if you know anything about speakers as seen at concerts, or the old guitar amps, you will know that there is an audible change in sonic qualities over the course of its lifetime. The driver housing does move around, back and forth a bit when audio is transmitted outward, you see that all the time in speakers. If there are any moving parts, they will be stiff in the first hours of its life and eventually learn to move more efficiently, just like a baseball glove being stiff when you first buy it and then becoming pliable later.
Soundstage and airiness are really the most prevalent qualities that people report changing. No machine in existence can test this, bass quality and textures all throughout the sonic spectrum are often reported. The changes are all very small but as another user here said on the last page, they add up and will create an audibly different experience from stock. So I laugh uncontrollably when someone claims burn in does not exist after they test frequency response and see no change. Its like....derpppp
fhew
-mike