I've found that without a really good amp and binaural recordings (or REALLY excellent stereo recordings) high-end headphones don't get that wow factor.
Why?
Think about it: loudspeakers have that "wow factor, so why not headphones? Amps first off- nobody ever demoed a GOOD pair of loudspeakers with a crummy or underpowered amp and thought "these sound amazing!" Yet we test headphones without amps that live up to the headphone, or just plain without amps at all sometimes!
Secondly, is binaural vs. stereo. Stereo is designed just for what it says it is: put a good recording into speakers and it will sound the way it's supposed to, because it was mic'd properly for stereo loudspeakers. On headphones it really holds back a phones full potential to use stereo. If you ever get the chance, try plugging a binaural recording into a pair of loudspeakers. It's pretty wonky to say the least (excepting some of the newer cheeky stuff which is designed to play through loudspeakers too) nobody really puts binaural through speakers though. That would be a silly way to test it! But the availability and constraints of testing are there, so we settle for stereo on headphones. It will sound good, but a headphone will never live up to its full potential on non-binaural. It might actually get you so immersed in the music that you don't care, but it won't live up to what it's truly capable of. I find that a great many cans (and amps too) from cheapest of the cheap, to the most expensive ones I've tried (and I've tried more than a few flagships) show their true colors with binaural recordings. I try to use at least a half dozen binaural tracks to test any headphones I buy. Still, there is the issue of not much binaural stuff being available...