...it's funny to me that you asked that, as I was just testing this today with a Sony D-25S and a JMT CHA47 amp. Yes, headphones sound better with an amp (I was using MDR-7506's and MDR-W08's). Livelier, more present highs (cymbals, snare drums), more authoratative and musical lows (less uncontrolled boominess), etc. More authoratative sound, overall, as well. More contrast between soft and loud, more nuance to the music.
Of course, if you're a total newbie and your entry price for an amp is, say, $50, you've got to ask yourself "is the money really worth it." Personally, having had my wallet battered time and again in the search for perfection, these lower-priced amps offer a great value. However, beware of what they will do to you, which is turn you into a raving lunatic in relentless pursuit of perfection, oftentimes beyond your means. It's a drug and you're most likely going to get hooked if you head up the ranks (amp, better cans, better amp, even better cans, better source, better this, better that, power filtering, tweaks, vinyl, hi-resolution digital, etc.)
In the end, she (the hobby) is terribly rewarding, but she'll take your wallet on more than a few very expensive dates.
- Matt