You aren't going to get that kind of feeling from headphones without some sort of DSP if you're listening to "normal" music which is mixed for speakers. I eagerly await Nuclear Blast releasing a binaural compilation album...Yeah right...
If you're listening from a computer you can try
Dolby Headphone or
Isone for cheap/free. If you find yourself over-burdened by a heavy wallet you should try the
Symth Realiser.
I find that the "Stereo Enhancer" on my Cowon D2+ works pretty well in conjunction with the crossfeed on my XM6. On its own, the crossfeed trades soundstage width for depth but the Stereo Enhancer adds the width back again while keeping the depth.
Right now:
Candlemass, Epicus Doomicus Metallius on Cowon D2+ > XM6 > DT1350 = Quite good.
My HD650s didn't go low enough for this album without any EQ but the 1350s are just fine.