"Killer System" is a pretty relative term... If you aren't used to listening to really good headphone setups, you can build a setup for $400 that will blow your mind. My mind was blow when I was first burning in my Grado SR 80s (for a little less than $100). My mind was again blown when I first hooked them up to an amp (a $50 version of the basic cMoy amp). I just ordered a cheap DAC ($80 DAC707 Super Pro) and I hope that I will again be impressed with the increase in sound quality. I use my MacBook computer as my source.
I would recommend that you buy items one piece at a time so that you can enjoy the improvement you get from each component. For $400-$500 you will be able to create a setup that will sound much better than anything the average person will ever experience. However, eventually, you will probably want more...
My $400 rig would be: SR 80, DAC707 Super Pro, Little Dot MK 2, and appropriate cables.
Why are you thinking sennheisers? Not that there is anything wrong with them, I'm just wondering why you chose them.