I had a pair of Ultrasone HFI-550s which when new had a lack of fullness in the bass. After a while they seemed to improve. Now this could easily have been me getting used to them, if it were not for two additional pieces of information:
1. I A/B compared them at both times to my roommate's already-burned-in HDJ-1000s and noticed the difference in comparison. And even more importantly,
2. When they were new, if I pressed them firmly against my ears the bass would get significantly stronger. Once they were broken in, doing this would make little to no difference.
As a strong non-believer in burn-in when it comes to electronics/cables (and I've never noticed improvement over time with cheap headphones) I have to say I'm pretty convinced in this case. It does make sense that the driver would loosen up and work better with use--I'd be more inclined to call this "break-in" than burn-in. And this is a difference that seems like it would show up in frequency response curves, not to mention other tests.
It does beg the question though, why don't manufacturers just burn them in at the factory so they are ready to go? They must rely at least a little on customers expecting them to get better so they don't want to remove that factor by reducing the amount they actually do get better. If they marketed them as already burned-in, everyone would judge them quickly and conclusively out of the box instead of giving them more time, and it would be pointless for them to bother burning them in if they didn't market them as such (This would hold true whether it's all placebo or not). Or maybe it wouldn't be pointless because they might sound better out of the box, snagging customers who aren't familiar with burn-in and still letting the placebo effect work on the rest of us. I'd prefer my headphones to work when I get them, but I guess a couple days of burn-in isn't too big an inconvenience.
In conclusion, I think break-in is perfectly valid in some cases (some but not all headphones), but I'd still like to see some test results, and it would be nice if manufacturers of particularly burn-in dependent phones would do some of the burning for us.