I don't think I notice the sound changing as much as the people here have mentioned, maybe my ears aren't as critical, but if a headphone is going to impress me, it has to be on first listen, new, out of the box is pretty much the only way we'll ever get to try these phones except for the few and far between head-fi meet.
I plugged in my ATH-A900's and loved them, same with my A950LTD's, but for different reasons, and same with my newest addition, my Grado SR-80i's.
I've had the ATH-A900's since 2006, the A950LTD's since about a month ago, and the Grado's for a week, and I listen to them all for different kinds of music, maybe over time I'll prefer one headphone over another for certain music, and my A900's have certainly gotten much better in the bass department, but I could attribute all of that to moving to digital audio delivery instead of analog, or switching to full ALAC/FLAC from MP3 and replacing all my crappy old rips when I was in 7th and 8th grade or w/e to MP3 V0 at the very least.
I noticed the biggest difference just in the sound signatures of head headphone, it's very obvious what each headphone wants to do, and where they shine and that's how I use them, but I'm not about to sit them playing music for a few weeks... I would rather just enjoy them as I go, it could be me that just gets more used to the headphone and it's sound.
I do believe in burn-in, but I won't actively pursue it, it detracts from me just enjoying my music, and if I hear something evolve, that's even better, it means I'm that closer to my music and my gear.
I have noticed the Compass changing a lot though, a change that is obvious between all of my headphones, so that's probably the only real obvious change I've noticed.
I hardly have the memory to remember what a song sounded like a month or two ago on one headphone and or another, I could attribute a change in sound to my health, time of day, weather, location, etc.. So I just roll with it and listen. Isn't that what it's all about?