there is a distortion level which, once you pass a certain volume level, everything gets distorted very quickly. this distortion will cause more hearing damage than just plain high volume. this distortion is very likely to burn out a driver.
got a headphone? turn up the volume. if you reach a volume level which distorts before full volume, (usually high effeciency headphones), you are reaching it's optimum.
if however you turn up the volume where you have to remove them from your head without distortion - they are good headphones.
oh, maybe it's the amp? then try another, different, amp. same thing happen? chances are it's the headphone. (provided that it's a different impedance loading amp).
listen to the DT880, CD3000 and the HD600 at past-full-volume. they all have a high dynamics threshold.
turning up Grados (or Audio Technicas) until they distort isn't hard. the volume isn't what is causing you to turn the volume down - it's the distortion.
be careful when you turn up the volume on the DT880. it can cause hearing damage. why? because it's pure SPLs and not distorted SPLs.