My headphone journey started with the Sony MDR-CD250. A nice closed headphone with very good sound for the money (they cost me less than €50, back when the introduction of the euro was still years away). Then, years later, I got the Philips SBC-HP840. It was okay, but would hurt my ears after listening about an hour. Not due to it's fit, but due to how it sounded. Very fatiguing, even though it was semi-open. About two and a half years ago I got the ATH-AD900 and loved them from the start. Very transparent, full and warm. It offered everything I was looking for. Until I realized I started to listen to more and more electronic music. That's when the realization hit me that the AD900 didn't do that genre all too well. It was lacking in bass authority, mainly. Plus, it was a tad too colored sometimes. The AD900's colorization is a big plus when listening to vocal music, though. Anyways, I started looking for closed headphones and since I fell in love with the Audio-Technica sound, I mainly looked for closed ATs. After doing a lot of research I got myself the ATH-A900Ti. Well, are they a nice step up from the AD900! Bass is fuller, warmer and has more authority. Mids are less prominent and thus not as upfront. Highs are very, very nice. They go all the way up to 38.000Hz and while no human can hear all those frequencies, it definitely does liven up the sound. Sure, there's less sound staging than in the AD900, but overall I find the A900Ti to be a very nice step up from it's open nephew. You might want to look into the closed Audio-Technicas as well. The woodies are supposed to be very nice as well, though are said not to be as full-bodied when it comes to bass presentation.
Really, I have no idea if my experiences will be of any value to you, but I just thought I should share them here. Good luck on your (next) journey!