I've owned:
Lots of cheapie Walmart headphones/iBuds: No comments necessary. Total ****.
Sennheiser HD202: I thought these were amazing at the time I had them, which was before I had started any foray into high(er) end audio. Thinking back at them, I now realize I only thought they were good because they had bass. I realize now that the bass was really flabby sounding and not at all detailed. I loved them, and probably put several thousand hours of listening time on them.
Bose Triports: I instantly thought 'These are the best headphones in the world' when I heard them for the first time because they had the same bass as the HD202s, but combined with "highs" (which I now realize aren't good). They are built like soggy crepe paper and even LOOKING at them will break them. They broke and I was sick of gluing them back together (Bose wouldn't replace them for me. Too far out of warranty), so then I discovered Head-Fi.org:
Sennheiser HD595: I bought these expecting them to be this lush soundscape with massive details, warm, inviting lows, and smooth, detailed highs, with everything in between. I excitedly opened the package, plugged them in and fired up a David Gilmour track (On An Island) in FLAC and ...was underwhelmed. A lot. I let them burn in for hours and hours and only noticed slight improvement. Due to some financial concerns, I ended up keeping them and not buying another pair of cans. Not going to lie, I love them now. I don't know if it is because I've gotten used to the sound or what, but they always sound good to me now. They definitely don't have punchy bass, but it isn't hard to get used to it. I don't regret the purchase of these now, even though I did when I first bought them.
Klipsch S4i: My first pair of in-ears. Deep, uncontrolled bass. Piercing highs. I'd rate these highly in the 'Headphones for fun' category. Definitely not accurate. Still, I loved them. I have them still, but they got sent through the washer
Serves me right for leaving them in my pants pocket.
Sony MDR-V6: Seems to be one of the most polarizing cans on the forums. You either love them or you hate them with an unholy passion. Honestly, I fall into the former category. These are great cans for heavier music. They isolate decently, so also good if you are using them at work or around sleeping wives/children. Because these are studio monitors, they are built like a tank. They can easily be thrown around and won't be damaged.
As you can see, I don't really regret any purchases of headphones. They all have their strengths and weaknesses. The journey will continue soon as I will be buying a LDMKIV SE and DT880/600 in the next month or two.