When I'm testing a new setup, some of my favorites include:
Clarity checks:
Norah Jones - Come Away with Me (I have yet to find a setup this album doesn't sound good on, so it's good for focusing on where the weaknesses in the setup are, rather than whether or not that album or song sounds good)
Ottmar Liebert - Fireopal (Accoustic)
Zero 7 - Passing By (Usually good for showing off reproduction levels across the board)
Bass checks:
Muse - Panic Station, Follow Me (Neither sound good if the system can't reproduce bass well)
Muse - Muscle Museum (If your LFE channel or bass below crossover is too hot, this song will make it stick out like a sore thumb; not as useful for headphones, but still demonstrates if they're bass-loaded)
Nine Inch Nails - The Hand that Feeds
Tool - Swamp Song
Korn - Freak on a Leash
Pink Floyd - Time (Few systems produce the deepest bass note just after the 2 minute mark. You'll know yours doesn't if the music appears to go up instead of down.)
Sound Stage:
Queen - Bohemian Rhapsody, Don't Stop Me Now (A little cliche, I know, but they do some fun stuff with positioning and stage)
Pink Floyd - The Wall (Anything)
The Who - Who's Next/The Best of The Who albums