Listening to my new to me Dynaudio BM6p's there's a few pro's that are immediately clear over all my headphones:
1) Space, spreading sound between 2.5 feet (roughly) is way more natural a method of listening to music than cramming into your head and roughly 3 inches to either side max.
2) Bass, not more impactful than my TH600's (the feeling of them rumbling on your head rivals subwoofers in some ways), not better textured than my HE500's but incredibly articulate with the right amount of punch to keep you engaged.
3) Full sounding, I like neutral bright tuning for all my gear which seems to be the studio standard. These speakers are voiced very similarly to both my Sony MDR-7520 and AKG K7XX but have a fuller sound than both without coming across as thick like my HE500's
4) Definition, listening to "Sad Souvenirs" by the four tops everything sounds so well placed and distinct as if every member is perfectly spread out on a stage in front of me.
5) Harmonious, not saying Headphones aren't in harmony its just that with space it all goes hand in glove, firmly attached to another gloved hand. Hearing that slight interplay between speakers and your room makes it more seamless.
Now, this is a nearfield setup, if you were listening to a set of tower speakers in a large well treated room you might have slightly different opinions on a few points but my observation thus far is that my current headphone setup is not losing much except for a touch of natural ease overall.
The good thing with both the tuning of the speakers and there increased level of space and authority is that it lends itself to all types of music so that one setup will play Ramirez with the same deftness as Eric Clapton whereas with headphones I might pick my K240 or K340's for Clapton but HE500's for Ramirez. Obviously a few headphones are genre masters (K7XX,MDR-7520,HE500 out of my collection) but their are times where I might prefer the signature of one to the others. That could either be a pro or a con depending on your budget and how simple you like your life to be.
Which leads to my number one pro of headphones over speakers the ability to have as many subtly or drastically listening setups as you want but they can all fit on your desk or a bookshelf AND for less than a mid sized 2-channel setup. My HE500's cost the same amount as the Dynaudios ($450cad) and are run off of the same speaker amp's tabs so they are the closest comparison; once I add the cost of stands and cables for the BM6p's I have almost the same price as my AKG K240 sextetts. Thats 2 great headphones that rival summit-fi headphones for the same price as a pair of speakers that never go as low as the price I paid (normally the BM6's go for $900-$1,300cad); if I had paid the normal market price for them it would be the same as adding the price of most of my remaining head gear and it would still only be one system (albeit versatile) versus a wide range and combination of gear.
All in all I would rather have both my headphone collection and speaker setup over just one.
Edit: just realised this is my 800th post