Quoting Jude from his Head-Fi Holiday gift guide: "As far as sub-$500 closed headphones go today, I can't think of another I'd pick over the MDR-1R for long-term sit-down listening sessions, across a wide variance in recording quality, and a wide variety of musical genres."
All of the major market sub $500 headphones will play without an amp
Some headphones will sound better without an amp than
others will sound with an amp simply due to the difference in quality of the headphones -
For example,. Sennheiser 650's will sound better without an amp than 'xyz' headphones
(usually overpriced and overhyped) will sound with an amp.
I recommend turning your question around to: What headphones sub $500. really need an amp?
Again, as an example - I wouldn't recommend using Beyer DT 880's or
AKG 701's without an amp, especially if they're being driven from a portable music player.