A funny thing, I love the headphone experience (after 30 years in the audio business with strictly speakers) when using really good headphones. But I don't get a much different "out of head" experience even with HD800s and Stax Sigma, 2 of the headphones heralded for imaging, relative to other headphones.
However, with really good headphones I get a nicely spread stage, in my head, that quickly translates into a mental image of listening to real music in real space. Totally enjoyable.
The ongoing debate of the visceral experience of speakers relative to headphones is an interesting one, and it seems most of us cite the vibration of speakers hitting our body overall as a big factor. Some of that must be true, but I had an interesting experience this week where I drove my speakers and headphones at the same time. Volumes were matched as I drive my headphones from my speaker amp and I have a resistive network to match the levels. Even though the HD800s I was using are open, when wearing the headphones I hear only them sounding just as they always do! When I slide them off, I hear the speakers as normal, of course, but the interesting thing is that they sound more visceral, even though I am getting that impact when wearing the headphones. So this is a complex matter, involving how our brains compensate and interpret the headphone experience. And I am sure this varies from person to person.