Though I enjoy listening through headphones, I enjoy listening through good speaker systems even more. Aside from the fact that I like the sound from my Vandersteen 1C / ACI Titan II LE system much better than any headphones that I've ever heard, speakers are intrinsicly more social and less isolating; they allow the music to be a part of the environment to be enjoyed by everybody. My wife and I, and most of the folks that come by enjoy the music from the speakers and can talk to eachother about the music and whatever else.
I generally listen to headphones when the isolation is an advantage (like when my wife is asleep), when the headphones provide provide better sound than the speakers attached to the source (my computer and portable devices), and for careful monitoring of recordings.
During a much earlier part of my life, before I got out on my own, headphones were a necessity, because they allowed me to listen to what I wanted, when I wanted, without parental sanctions or sibling complaints, and the now ancient (late '60s) Sennheisers I had back then, though deficient in bass, sounded so much better than the speakers I could afford at the time.